Model Selection for Forecast Combination

Research output: Contribution to journalArticleAcademicpeer-review

2 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)1721-1727
Number of pages7
JournalApplied Economics
Volume43
Issue number14
DOIs
Publication statusPublished - 2011

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