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The Use of Encompassing Tests for Forecast Combinations, Turgut Kisinbay

The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S. macroecoomic data set. The results are encouraging as the algorithm forecasts outperform benchmark model forecasts, in a mean square error (MSE) sense, in a majority of cases
Table Of Contents
Contents; I. Introduction; II. The Encompassing Principle; III. Data and Out-of-Sample Forecasts; IV. The Encompassing Algorithm; V. Results; A. Does the Algorithm Work?; B. Which Significance Level to Use?; VI. Comparisons With Other Methods; VII. Conclusions; Appendix; I. Data; Appendix Tables; 1. Description of Data; 2. Relative Performance of Algorithm Forecasts; 3. A Comparison of Forecast Combination Methods; Figure; 1. Relative Performance of Algorithm Forecasts; References
Literary Form
non fiction
Description based upon print version of record
Physical Description
1 online resource (23 p.)
Specific Material Designation
Form Of Item

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