Model selection for forecast combination
AbstractIn 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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Bibliographic InfoPaper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 2008-11.
Date of creation: 01 Jun 2008
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model selection; forecast combination;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-03-28 (All new papers)
- NEP-ECM-2009-03-28 (Econometrics)
- NEP-ETS-2009-03-28 (Econometric Time Series)
- NEP-FOR-2009-03-28 (Forecasting)
- NEP-MAC-2009-03-28 (Macroeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Clark, Todd E. & McCracken, Michael W., 2001. "Tests of equal forecast accuracy and encompassing for nested models," Journal of Econometrics, Elsevier, vol. 105(1), pages 85-110, November.
- Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
- Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
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