| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 965095 | Journal of the Japanese and International Economies | 2013 | 18 Pages |
Abstract
⺠We propose a new forecast selection method based on conditional information. ⺠The method extends forecast switching by Giacomini and White (2006) to a situation with more than two forecast series. ⺠We apply the method to the monthly yen/dollar exchange rate to investigate the performance of the proposed method. ⺠Forecast switching based on our method is better than forecast combination when conditional information is accurate. ⺠We provide Monte Carlo evidence to support the proposed method.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Kei Kawakami,