Model selection for forecast combination

Philip Hans Franses

Applied Economics, 2011, vol. 43, issue 14, 1721-1727

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.

Date: 2011
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Working Paper: Model selection for forecast combination (2008)
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DOI: 10.1080/00036840902762753

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