Model selection for forecast combination

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.

Verfasser: Franses, Philip Hans
Dokumenttyp: journal article
Erscheinungsdatum: 2012
Verlag/Hrsg.: GBR
Schlagwörter: Wirtschaft / Economics / Model selection / Forecast combination / Economic Statistics / Econometrics / Business Informatics / National Economy / Wirtschaftsstatistik / Ökonometrie / Wirtschaftsinformatik / Volkswirtschaftstheorie / Netherlands / forecast procedure / national debt / Staatsverschuldung / Prognoseverfahren / Niederlande / Grundlagenforschung / basic research
Sprache: unknown
Permalink: https://search.fid-benelux.de/Record/base-29229831
Datenquelle: BASE; Originalkatalog
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Link(s) : http://www.ssoar.info/ssoar/handle/document/24309