Arbeitspapier
Combination of forecast methods using encompassing tests: An algorithm-based procedure
This paper proposes a strategy to increase the efficiency of forecast combining methods. Given the availability of a wide range of forecasting models for the same variable of interest, our goal is to apply combining methods to a restricted set of models. To this aim, an algorithm procedure based on a widely used encompassing test (Harvey, Leybourne, Newbold, 1998) is developed. First, forecasting models are ranked according to a measure of predictive accuracy (RMSFE) and, in a consecutive step, each prediction is chosen for combining only if it is not encompassed by the competing models. To assess the robustness of this procedure, an empirical application to Italian monthly industrial production using ISAE short-term forecasting models is provided.
- Sprache
-
Englisch
- Erschienen in
-
Series: Reihe Ökonomie / Economics Series ; No. 228
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
- Thema
-
combining forecasts
econometric models
evaluating forecasts
models selection
time series
Zeitreihenanalyse
Prognoseverfahren
Ökonometrisches Modell
Modellierung
Theorie
Schätzung
Italien
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Costantini, Mauro
Pappalardo, Carmine
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for Advanced Studies (IHS)
- (wo)
-
Vienna
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Costantini, Mauro
- Pappalardo, Carmine
- Institute for Advanced Studies (IHS)
Entstanden
- 2008