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.

forecast combination, model selection
Forecasting and Other Model Applications (jel C53)
Erasmus School of Economics
hdl.handle.net/1765/12552
Econometric Institute Research Papers
Report / Econometric Institute, Erasmus University Rotterdam
Erasmus School of Economics

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