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Model selection for forecast combination

[journal article]

Franses, Philip Hans

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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 procedure; Netherlands; national debt
Classification National Economy; Economic Statistics, Econometrics, Business Informatics
Method basic research
Free Keywords Model selection, Forecast combination
Document language English
Publication Year 2009
Page/Pages 43 p.
Journal Applied Economics (2009)
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)