The Use of Encompassing Tests for Forecast Combinations
Electronic Access:
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Summary:
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.
Series:
Working Paper No. 2007/264
Subject:
Economic forecasting Factor models Stocks
Frequency:
Annually
English
Publication Date:
November 1, 2007
ISBN/ISSN:
9781451868272/1018-5941
Stock No:
WPIEA2007264
Pages:
21
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