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.

Additional Metadata
Keywords forecast combination, model selection
JEL Forecasting and Other Model Applications (jel C53)
Publisher Erasmus School of Economics
Persistent URL hdl.handle.net/1765/12552
Series Econometric Institute Research Papers
Journal Report / Econometric Institute, Erasmus University Rotterdam
Citation
Franses, Ph.H.B.F. (2008). Model selection for forecast combination (No. EI 2008-11). Report / Econometric Institute, Erasmus University Rotterdam (pp. 1–21). Erasmus School of Economics. Retrieved from http://hdl.handle.net/1765/12552