Model selection for forecast combination

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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

DOI: http://dx.doi.org/10.1080/00036840902762753

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

Publication date: May 1, 2011

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