This paper investigates whether and to what extent multiple encompassing tests may help determine weights for forecast averaging in a standard vector autoregressive setting. To this end we consider a new test-based procedure, which assigns non‐zero weights to candidate models that add...

Because of their natural adherence to the climate and pronounced seasonal cycles, prices of field crops constitute an interesting field for exploring seasonal time series models. We consider quarterly prices of two major cereals: barley and wheat. Using traditional in-sample fit and...