Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/122179 
Year of Publication: 
2014
Series/Report no.: 
IHS Economics Series No. 309
Publisher: 
Institute for Advanced Studies (IHS), Vienna
Abstract: 
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 method that fuses test-based and Bates-Granger weighting. For a realistic simulation design, we generate multivariate time-series samples from a macroe- conomic DSGE-VAR 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. Uni- form averages may be the weighting scheme that is most robust to empirically observed irregularities.
Subjects: 
combining forecasts
encompassing tests
model selection
time series
DSGE-VAR model
Document Type: 
Working Paper

Files in This Item:
File
Size
469.35 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.