Conditional 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
Published in:	Journal of the Japanese and International Economies. - Elsevier, ISSN 0889-1583. - Vol. 28.2013, C, p. 1-18
Publisher:	Elsevier
Subject:	Conditional predictive ability \| Exchange rate \| Forecasting \| Forecast combinations \| Model selection

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Type of publication:	Article
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/10010666012