| Article ID: | iaor201112535 |
| Volume: | 30 |
| Issue: | 8 |
| Start Page Number: | 706 |
| End Page Number: | 720 |
| Publication Date: | Dec 2011 |
| Journal: | Journal of Forecasting |
| Authors: | Nicolau Joo |
| Keywords: | resource smoothing |
We propose a new nonparametric density forecast based on time- and state-domain smoothing. We analyze some of its asymptotic properties and provide an empirical illustration.