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01707cas a2200313 a 4500 |
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AALejournalIMF009669 |
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|c 5.00 USD
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|z 9781451868272
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Kisinbay, Turgut.
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|a The Use of Encompassing Tests for Forecast Combinations /
|c Turgut Kisinbay.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2007.
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|a 1 online resource (21 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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.
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|a Mode of access: Internet
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|a Algorithm Forecast
|2 imf
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|a Data Set
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|a Null Hypothesis
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|a Simple Average
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|a WP
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|a United States
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|a IMF Working Papers; Working Paper ;
|v No. 2007/264
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2007/264/001.2007.issue-264-en.xml
|z IMF e-Library
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