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Model selection for forecast combination
[Zeitschriftenartikel]
Abstract In this paper 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 forec... mehr
In this paper 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 GDP in the Netherlands shows its ease of use.... weniger
Thesaurusschlagwörter
Staatsverschuldung; Prognoseverfahren; Niederlande
Klassifikation
Volkswirtschaftstheorie
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Methode
Grundlagenforschung
Freie Schlagwörter
Model selection, Forecast combination
Sprache Dokument
Englisch
Publikationsjahr
2009
Seitenangabe
43 S.
Zeitschriftentitel
Applied Economics (2009)
DOI
https://doi.org/10.1080/00036840902762753
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)