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Model selection for forecast combination

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  • Franses, Ph.H.B.F.
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    Abstract

    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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    File URL: http://hdl.handle.net/1765/12552
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    Bibliographic Info

    Paper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 2008-11.

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    Date of creation: 01 Jun 2008
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    Handle: RePEc:dgr:eureir:1765012552

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    Related research

    Keywords: model selection; forecast combination;

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    1. Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
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