Chen, Zhuo; Yang, Yuhong - In: Studies in Nonlinear Dynamics & Econometrics 11 (2008) 1, pp. 1385-1385
In this paper we systematically compare forecasting accuracy of hypothesis testing procedures with that of a model combining algorithm. Testing procedures are commonly used in applications to select a model, based on which forecasts are made. However, besides the well-known difficulty in dealing...
