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Model selection for forecast combination

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  • Philip Hans Franses

Abstract

In this article 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 Gross Domestic Profit (GDP) in the Netherlands shows its ease of use.

Suggested Citation

  • Philip Hans Franses, 2011. "Model selection for forecast combination," Applied Economics, Taylor & Francis Journals, vol. 43(14), pages 1721-1727.
    • Handle: RePEc:taf:applec:v:43:y:2011:i:14:p:1721-1727
    DOI: 10.1080/00036840902762753
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    JEL classification:

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

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