We explore the benefits of forecast combinations based on forecast-encompassing tests compared to simple averages and to Bates-Granger combinations. We also consider a new combination method that fuses test-based and Bates-Granger weighting. For a realistic simulation design, we generate...

The aim of this paper is to analyze the effects of exchange rate volatility on international trade fl ows by using two different approaches, the panel data analysis and fuzzy logic, and to compare the results. To a panel with the crosssection dimension of 91 pairs of EU15 countries and with time...

The aim of this paper is to analyze the effects of exchange rate volatility on international trade flows by using two different approaches, the panel data analysis and fuzzy logic, and to compare the results. To a panel with the cross- section dimension of 91 pairs of EU15 countries and with...

Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination...

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...

We study the benefits of forecast combinations based on forecast-encompassing tests relative to uniformly weighted forecast averages across rival models. For a realistic simulation design, we generate multivariate time-series samples of size 40 to 200 from a macroeconomic DSGE-VAR model....