Model selection for forecast combination
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.
Document Type: Research Article
Affiliations: Econometric Institute, Erasmus University Rotterdam, Rotterdam, NL-3000, Netherlands
Publication date: May 1, 2011