Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE System
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KeywordsCombining forecasts; encompassing tests; model selection; time series; DSGE model;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CBA-2010-05-22 (Central Banking)
- NEP-DGE-2010-05-22 (Dynamic General Equilibrium)
- NEP-ECM-2010-05-22 (Econometrics)
- NEP-ETS-2010-05-22 (Econometric Time Series)
- NEP-FOR-2010-05-22 (Forecasting)
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