Forecast combinations in a DSGE-VAR lab

Arbeitspapier

We explore the benefits of forecast combinations based on forecast- encompassing tests compared to simple averages and to Bates-Granger combinations. We also consider a new combination method that fuses test-based and Bates-Granger weighting. For a realistic simulation design, we generate multivariate time-series samples from a macroe- conomic DSGE-VAR model. Results generally support Bates-Granger over uniform weighting, whereas benefits of test-based weights depend on the sample size and on the prediction horizon. In a corresponding application to real-world data, simple averaging performs best. Uni- form averages may be the weighting scheme that is most robust to empirically observed irregularities.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IHS Economics Series ; No. 309

Classification and Topics

• Classification: Wirtschaft
• Subject: combining forecasts ; encompassing tests ; model selection ; time series ; DSGE-VAR model

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Costantini, Mauro ; Gunter, Ulrich ; Kunst, Robert M.
• Event: Veröffentlichung
• (who): Institute for Advanced Studies (IHS)
• (where): Vienna
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/122179
• Last update: 10.03.2025, 11:44 AM CET