Forecast Combinations in a DSGE‐VAR Lab
Copyright policy )Forecast Combinations in a DSGE‐VAR Lab
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 algorithm that fuses test‐based and Bates–Granger weighting. For a realistic simulation design, we generate multivariate time series samples from a macroeconomic DSGE‐VAR (dynamic stochastic general equilibrium–vector autoregressive) 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. Uniform averages may be the weighting scheme that is most robust to empirically observed irregularities. Copyright © 2016 John Wiley & Sons, Ltd.
model selection, Time series, 101018 Statistik, 330, Dynamic stochastic general equilibrium theory, 502025 Ökonometrie, forecasting, Model selection, SHOCKS, Inference from stochastic processes and prediction, BUSINESS CYCLES, Applications of statistics to economics, Bates-Granger weighting, Encompassing tests, simple averaging, US, 101018 Statistics, ddc:330, 502018 Macroeconomics, VWL, 502018 Makroökonomie, combining forecasts, Combining forecasts, Economic time series analysis, TESTS, FRICTIONS, 502025 Econometrics, forecasting; combining forecasts; encompassing tests; model selection; time series, DSGE-VAR model, Combining forecasts, encompassing tests, model selection, time series, DSGE-VAR model, time series, GENERAL EQUILIBRIUM-MODELS, encompassing tests, SRA, Forecasting
model selection, Time series, 101018 Statistik, 330, Dynamic stochastic general equilibrium theory, 502025 Ökonometrie, forecasting, Model selection, SHOCKS, Inference from stochastic processes and prediction, BUSINESS CYCLES, Applications of statistics to economics, Bates-Granger weighting, Encompassing tests, simple averaging, US, 101018 Statistics, ddc:330, 502018 Macroeconomics, VWL, 502018 Makroökonomie, combining forecasts, Combining forecasts, Economic time series analysis, TESTS, FRICTIONS, 502025 Econometrics, forecasting; combining forecasts; encompassing tests; model selection; time series, DSGE-VAR model, Combining forecasts, encompassing tests, model selection, time series, DSGE-VAR model, time series, GENERAL EQUILIBRIUM-MODELS, encompassing tests, SRA, Forecasting
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