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.

Additional Metadata
Keywords forecasting, model selection
Persistent URL,
Series Econometric Institute Reprint Series
Journal Applied Economics
Franses, Ph.H.B.F. (2011). Model selection for forecast combination. Applied Economics, 43(14), 1721–1727. doi:10.1080/00036840902762753