The Use of Encompassing Tests for Forecast Combinations
AbstractThe paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S. macroecoomic data set. The results are encouraging as the algorithm forecasts outperform benchmark model forecasts, in a mean square error (MSE) sense, in a majority of cases.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 07/264.
Date of creation: 01 Nov 2007
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Postal: International Monetary Fund, Washington, DC USA
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Other versions of this item:
- Turgut Kışınbay, 2010. "The use of encompassing tests for forecast combinations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(8), pages 715-727, December.
- NEP-ALL-2008-01-05 (All new papers)
- NEP-ECM-2008-01-05 (Econometrics)
- NEP-ETS-2008-01-05 (Econometric Time Series)
- NEP-FOR-2008-01-05 (Forecasting)
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- Leonardo Morales-Arias & Alexander Dross, 2010. "Adaptive Forecasting of Exchange Rates with Panel Data," Kiel Working Papers 1656, Kiel Institute for the World Economy.
- A. Girardi & R. Golinelli & C. Pappalardo, 2014. "The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time," Working Papers wp919, Dipartimento Scienze Economiche, Universita' di Bologna.
- Antonis Michis, 2012. "Monitoring Forecasting Combinations with Semiparametric Regression Models," Working Papers 2012-02, Central Bank of Cyprus.
- Leonardo Morales-Arias & Alexander Dross, 2010. "Adaptive Forecasting of Exchange Rates with Panel Data," Research Paper Series 285, Quantitative Finance Research Centre, University of Technology, Sydney.
- Morales-Arias, Leonardo & Moura, Guilherme V., 2013. "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 493-509.
- Costantini, Mauro & Pappalardo, Carmine, 2010. "A hierarchical procedure for the combination of forecasts," International Journal of Forecasting, Elsevier, vol. 26(4), pages 725-743, October.
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