Addressing Collinearity Among Competing Econometric Forecasts: Regression Based Forecast Combination Using Model Selection

Norman Rasmus Swanson () and Tian Zeng ()

Working Papers from Pennsylvania State - Department of Economics

Abstract: Based on Monte Carlo simulations using both stationary and nonstationary data, a model selection approach which uses the SIC to select a "best" group of forecasts in the context of forecast combination regressions dominates a number of other techniques, including the standard t-statistic approach which is commonly used in practical applications.

Keywords: FORECASTS; REGRESSION ANALYSIS (search for similar items in EconPapers)
JEL-codes: C10 C15 C52 (search for similar items in EconPapers)
Date: 1996
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