Conditiona l Forecast Selection from Many Forecasts: An Application to the Yen/Dollar Exchange Rate

This paper proposes a new method for forecast selection from a pool of many forecasts. The method uses conditional information as proposed by Giacomini and White (2006). It also extends their pairwise switching method to a situation with many forecasts. I apply the method to the monthly yen/dollar exchange rate and show empirically that my method of switching forecasting models reduces forecast errors compared with a single model.

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Year of publication:	2013
Authors:	Kawakami, Kei
Institutions:	Department of Economics, Faculty of Business and Economics
Subject:	Conditional predictive ability \| Exchange rate \| Forecasting \| Forecast combinations \| Model selection

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Extent:	application/pdf
Series:	Department of Economics - Working Papers Series.
Type of publication:	Book / Working Paper
Notes:	Number 1167 31 pages
Classification:	C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; F31 - Foreign Exchange ; F37 - International Finance Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010903380