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Model selection for forecast combination

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Author Info
Franses, Ph.H.B.F. (Erasmus Econometric Institute)
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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Publisher Info
Paper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 2008-11 Revision_Date: 2009-11-06.

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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: forecast combination; model selection;

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This page was last updated on 2009-12-16.

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