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Model selection for forecast combination
[journal article]
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... view more
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.... view less
Keywords
Netherlands; forecast procedure; national debt
Classification
National Economy
Economic Statistics, Econometrics, Business Informatics
Method
basic research
Free Keywords
Model selection, Forecast combination
Document language
English
Publication Year
2009
Page/Pages
43 p.
Journal
Applied Economics (2009)
DOI
https://doi.org/10.1080/00036840902762753
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)