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The use of encompassing tests for forecast combinations

  • Turgut Kışınbay

This paper proposes an algorithm that uses forecast encompassing tests for combining forecasts when there are a large number of forecasts that might enter the combination. 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 US macroeconomic dataset. The results are encouraging; the algorithm forecasts outperform benchmark model forecasts, in a mean square error (MSE) sense, in a majority of cases. The paper also compares the empirical performance of different approaches to forecast combination, and provides a rule-of‐thumb cut‐off point for the thick‐modeling approach. Copyright (C) 2009 John Wiley & Sons, Ltd.

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 29 (2010)
Issue (Month): 8 (December)
Pages: 715-727

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Handle: RePEc:jof:jforec:v:29:y:2010:i:8:p:715-727
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