Conditional forecast selection from many forecasts: An application to the Yen/Dollar exchange rate

Kei Kawakami

Journal of the Japanese and International Economies, 2013, vol. 28, issue C, 1-18

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)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0889158313000075
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Conditional Forecast Selection from Many Forecasts: An Application to the Yen/Dollar Exchange Rate (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jjieco:v:28:y:2013:i:c:p:1-18

DOI: 10.1016/j.jjie.2013.01.006

Access Statistics for this article

Journal of the Japanese and International Economies is currently edited by Takeo Hoshi

More articles in Journal of the Japanese and International Economies from Elsevier
Bibliographic data for series maintained by Catherine Liu ().