Conditional Forecast Selection from Many Forecasts: An Application to the Yen/Dollar Exchange Rate

No 1167, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: This paper proposes a new method for forecast selection from a pool of many forecasts. The method uses conditional information as proposed by Giacomini and White (2006). It also extends their pairwise switching method to a situation with many forecasts. I apply the method to the monthly yen/dollar exchange rate and show empirically that my method of switching forecasting models reduces forecast errors compared with a single model.

Keywords: Conditional predictive ability; Exchange rate; Forecasting; Forecast combinations; Model selection (search for similar items in EconPapers)
JEL-codes: C52 C53 F31 F37 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2013
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-mon
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Journal Article: Conditional forecast selection from many forecasts: An application to the Yen/Dollar exchange rate (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:mlb:wpaper:1167

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