Volume 19 Issue 1 (January-March 2003)

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Forecasting combination and encompassing tests

Fang, Y.
Pages 87-94
Abstract

In this paper we demonstrate that forecast encompassing tests are valuable tools in getting an insight into why competing forecasts may be combined to produce a composite forecast which is superior to the individual forecasts. We also argue that results from forecast encompassing tests are potentially useful in model specification. We illustrate this using forecasts of quarterly UK consumption expenditure data from three classes of models: ARIMA, DHSY and VAR models.

Keywords: ARIMA , Econometric model , Forecast encompassing , Forecast combination , VAR
FULL TEXT LINK
http://dx.doi.org/10.1016/S0169-2070(01)00121-2
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