Template-Type: ReDIF-Paper 1.0
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Title: Model selection for forecast combination
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 forecasts for GDP in the Netherlands shows its ease of use.
Creation-Date: 2008-06-01
File-URL: https://repub.eur.nl/pub/12552/ei2008-11.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2008-11
Classification-JEL: C53
Keywords: forecast combination, model selection
Handle: RePEc:ems:eureir:12552