Model selection for forecast combination

In this paper it is advocated to select a model only if it significantly contributes to the accuracy of a combined forecast. Using hold-out-data forecasts of individual models and of the combined forecast, a useful test for equal forecast accuracy can be designed. An illustration for real-time forecasts for GDP in the Netherlands shows its ease of use.

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Year of publication:	2008-06-01
Authors:	Franses, Ph.H.B.F.
Institutions:	Erasmus University Rotterdam, Econometric Institute
Subject:	forecast combination \| model selection

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Extent:	application/pdf
Series:	Econometric Institute Report. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:dgr:eureir Number EI 2008-11
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004972237