The Use of Encompassing Tests for Forecast Combinations

Kisinbay, Turgut

The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S. macroecoomic data set. The results are encouraging as the algorithm forecasts outperform benchmark model forecasts, in a mean square error (MSE) sense, in a majority of cases

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Year of publication:	2007
Authors:	Kisinbay, Turgut
Other Persons:	Kisinbay, Turgut (contributor)
Publisher:	Washington, D.C : International Monetary Fund
Subject:	Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| Modellierung \| Scientific modelling \| Statistischer Test \| Statistical test