Forecast Selection by Conditional Predictive Ability Tests: An Application to the Yen/Dollar Exchange Rate
Kei Kawakami
No 08-E-1, Bank of Japan Working Paper Series from Bank of Japan
Abstract:
In this paper, I propose a new method for forecast selection from a pool of many forecasts. My method has two features. The first is the use of the conditional predictive ability test proposed by Giacomini and White [2006]. Second, I construct a measure with two dimensions: "relative usefulness" and "signal predictability". The measure is designed to rank many forecasts in the order of ex-ante forecast accuracy. Therefore, the ranking can be useful not only for selection of a single forecast but also for forecast combinations. I apply the method to the monthly yen/dollar exchange rate. First, I evaluate the performance of base-line forecasting models including a forecast survey of Japanese companies. Second, I show empirically that my method of switching forecasting models reduces forecast errors compared with a single model.
Date: 2008-01
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www.boj.or.jp/en/research/wps_rev/wps_2008/data/wp08e01.pdf (application/pdf)
Related works:
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:boj:bojwps:08-e-1
Access Statistics for this paper
More papers in Bank of Japan Working Paper Series from Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Bank of Japan ().