2008-06-01
Model selection for forecast combination
Publication
Publication
Report / Econometric Institute, Erasmus University Rotterdam p. 1- 21
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.
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| Erasmus School of Economics | |
| hdl.handle.net/1765/12552 | |
| Econometric Institute Research Papers | |
| Report / Econometric Institute, Erasmus University Rotterdam | |
| Organisation | Erasmus School of Economics |
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Franses, P. H. (2008). Model selection for forecast combination (No. EI 2008-11). Report / Econometric Institute, Erasmus University Rotterdam (pp. 1–21). Retrieved from http://hdl.handle.net/1765/12552 |
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