Model selection for forecast combination

Philip Hans Franses

No EI 2008-11, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: 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.

Keywords: forecast combination; model selection (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
Date: 2008-06-01
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Journal Article: Model selection for forecast combination (2011)
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