2011-05-01
Model selection for forecast combination
Publication
Publication
Applied Economics , Volume 43 - Issue 14 p. 1721- 1727
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.
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doi.org/10.1080/00036840902762753, hdl.handle.net/1765/23931 | |
Econometric Institute Reprint Series | |
Applied Economics | |
Organisation | Erasmus Research Institute of Management |
Franses, P. H. (2011). Model selection for forecast combination. Applied Economics, 43(14), 1721–1727. doi:10.1080/00036840902762753 |