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 dx.doi.org/10.1080/00036840902762753, hdl.handle.net/1765/23931
Series Econometric Institute Reprint Series
Journal Applied Economics
Citation
Franses, Ph.H.B.F. (2011). Model selection for forecast combination. Applied Economics, 43(14), 1721–1727. doi:10.1080/00036840902762753