Combining forecasts based on multiple encompassing tests in a macroeconomic core system

DOI10.1002/FOR.1190zbMATH Open1226.91045OpenAlexW2003600193MaRDI QIDQ3101656FDOQ3101656

Robert M. Kunst, Mauro Costantini

Publication date: 29 November 2011

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/8270

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zbMATH Keywords

model selectiontime seriescombining forecastsencompassing tests

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Estimating the dimension of a model
• Title not available (Why is that?)
• Title not available (Why is that?)
• VAR forecasting under misspecification
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Tests of equal forecast accuracy and encompassing for nested models
• Forecasting Economic Time Series
• The cointegrated VAR model: Methodology and applications.

Cited In (3)

• On the usefulness of cross-validation for directional forecast evaluation
• The use of encompassing tests for forecast combinations
• Econometric Evaluation of Linear Macro-Economic Models

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