Arbeitspapier
Forecast combinations in a DSGE-VAR lab
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: IHS Economics Series ; No. 309
- Klassifikation
-
Wirtschaft
- Thema
-
combining forecasts
encompassing tests
model selection
time series
DSGE-VAR model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Costantini, Mauro
Gunter, Ulrich
Kunst, Robert M.
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for Advanced Studies (IHS)
- (wo)
-
Vienna
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Costantini, Mauro
- Gunter, Ulrich
- Kunst, Robert M.
- Institute for Advanced Studies (IHS)
Entstanden
- 2014
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