کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
997634 | 1481459 | 2010 | 19 صفحه PDF | دانلود رایگان |
This paper proposes a strategy to increase the efficiency of forecast combination. Given the availability of a wide range of forecasts for the same variable of interest, our goal is to apply combining methods to a restricted set of models. With this aim, a hierarchical procedure based on an encompassing test is considered. First, forecasting models are ranked according to a measure of predictive accuracy (RMSFE). The models are then selected for combination such that each forecast is not encompassed by any of the competing forecasts. Thus the hierarchical procedure represents a compromise between model selection and model averaging. The robustness of the procedure is investigated in terms of the relative RMSFE using ISAE (Institute for Studies and Economic Analyses) short-term forecasting models for monthly industrial production in Italy.
Journal: International Journal of Forecasting - Volume 26, Issue 4, October–December 2010, Pages 725–743