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Model selection for forecast combination

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  • Franses, Ph.H.B.F.

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.

Suggested Citation

  • Franses, Ph.H.B.F., 2008. "Model selection for forecast combination," Econometric Institute Research Papers EI 2008-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:12552
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    References listed on IDEAS

    as
    1. Swanson, Norman R & Zeng, Tian, 2001. "Choosing among Competing Econometric Forecasts: Regression-Based Forecast Combination Using Model Selection," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(6), pages 425-440, September.
    2. 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.
    3. de Groot, E.A. & Franses, Ph.H.B.F., 2005. "Real time estimates of GDP growth," Econometric Institute Research Papers EI 2005-01, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. David Harvey & Paul Newbold, 2000. "Tests for multiple forecast encompassing," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 471-482.
    5. Ericsson, Neil R., 1992. "Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 465-495, August.
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    More about this item

    Keywords

    forecast combination; model selection;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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