期刊
JOURNAL OF FORECASTING
卷 36, 期 3, 页码 305-324出版社
WILEY
DOI: 10.1002/for.2427
关键词
forecasting; combining forecasts; encompassing tests; model selection; time series
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 algorithm that fuses test-based and Bates-Granger weighting. For a realistic simulation design, we generate multivariate time series samples from a macroeconomic DSGE-VAR (dynamic stochastic general equilibrium-vector autoregressive) 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. Uniform averages may be the weighting scheme that is most robust to empirically observed irregularities. Copyright (c) 2016 John Wiley & Sons, Ltd.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据