The Use of Encompassing Tests for Forecast Combinations

WPIEA2007264 Image
Price:  $18.00

Author/Editor: Turgut Kisinbay
Release Date: © November, 2007
ISBN : 978-1-45186-827-2
Stock #: WPIEA2007264
English
Stock Status: On back-order

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Description

The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S. macroecoomic data set. The results are encouraging as the algorithm forecasts outperform benchmark model forecasts, in a mean square error (MSE) sense, in a majority of cases.




More publications in this series: Working Papers


More publications by: Turgut Kisinbay