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Conditional forecast selection from many forecasts: An application to the Yen/Dollar exchange rate

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  • Kawakami, Kei

Abstract

This 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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  • 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.
    • Handle: RePEc:eee:jjieco:v:28:y:2013:i:c:p:1-18
    DOI: 10.1016/j.jjie.2013.01.006
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    More about this item

    Keywords

    Conditional predictive ability; Exchange rate; Forecasting; Forecast combinations; Model selection;
    All these keywords.

    JEL classification:

    • 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

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