Model selection for forecast combination

Philip Hans Franses (1)

1 Econometric Institute

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.

Mots clés: Social Sciences & Humanities

Philip Hans Franses. Model selection for forecast combination. Applied Economics, 2009, pp.1. ⟨10.1080/00036840902762753⟩. ⟨hal-00582307⟩