Model selection for forecast combination

C-Tier
Journal: Applied Economics
Year: 2011
Volume: 43
Issue: 14
Pages: 1721-1727

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In this article it is advocated to select a model only if it significantly contributes to the accuracy of a combined forecast. Using hold-out-data forecasts of individual models and of the combined forecast, a useful test for equal forecast accuracy can be designed. An illustration for real-time forecasts for Gross Domestic Profit (GDP) in the Netherlands shows its ease of use.

Technical Details

RePEc Handle
repec:taf:applec:v:43:y:2011:i:14:p:1721-1727
Journal Field
General
Author Count
1
Added to Database
2026-01-25