Conditiona l Forecast Selection from Many Forecasts: An Application to the Yen/Dollar Exchange Rate
AbstractThis paper proposes a new method for forecast selection from a pool of many forecasts. The method uses conditional information as proposed by Giacomini and White (2006). It also extends their pairwise switching method to a situation with many forecasts. I apply the method to the monthly yen/dollar exchange rate and show empirically that my method of switching forecasting models reduces forecast errors compared with a single model.
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Bibliographic InfoPaper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 1167.
Length: 31 pages
Date of creation: 2013
Date of revision:
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More information through EDIRC
Conditional predictive ability; Exchange rate; Forecasting; Forecast combinations; Model selection;
Other versions of this item:
- Kawakami, Kei, 2013. "Conditional forecast selection from many forecasts: An application to the Yen/Dollar exchange rate," Journal of the Japanese and International Economies, Elsevier, vol. 28(C), pages 1-18.
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-23 (All new papers)
- NEP-ECM-2013-03-23 (Econometrics)
- NEP-ETS-2013-03-23 (Econometric Time Series)
- NEP-FOR-2013-03-23 (Forecasting)
- NEP-MON-2013-03-23 (Monetary Economics)
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