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Model selection for forecast combination

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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.
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Document Type: Research Article

Affiliations: Econometric Institute, Erasmus University Rotterdam, Rotterdam, NL-3000, Netherlands

Publication date: 2011-05-01

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