Addressing Collinearity Among Competing Econometric Forecasts: Regression Based Forecast Combination Using Model Selection
Based on Monte Carlo simulations using both stationary and nonstationary data, a model selection approach which uses the SIC to select a "best" group of forecasts in the context of forecast combination regressions dominates a number of other techniques, including the standard t-statistic approach which is commonly used in practical applications.
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|Date of creation:||1996|
|Date of revision:|
|Contact details of provider:|| Postal: PENNSYLVANIA STATE UNIVERSITY, DEPARTMENT OF ECONOMICS, UNIVERSITY PARK PENNSYLVANIA 16802 U.S.A.|
Web page: http://econ.la.psu.edu/
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