Franses, P.H. (2011). Model Selection for Forecast Combination Applied Economics, 43(14):1721--1727.
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Affiliated author
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Publication year2011
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JournalApplied Economics
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.