Addressing Collinearity Among Competing Econometric Forecasts: Regression Based Forecast Combination Using Model Selection.

Based on Monte Carlo simulations using both stationary and nonstationary data, a model selection approach which uses the SIC to select a "best" group of forecasts in the context of forecast combination regressions dominates a number of other techniques, including the standard t-statistic approach which is commonly used in practical applications.

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Year of publication:	1996
Authors:	Swanson, N.R. ; Zeng, T.
Institutions:	Department of Economics, Pennsylvania State University
Subject:	FORECASTS \| REGRESSION ANALYSIS

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Series:	Pennsylvania State - Department of Economics.
Type of publication:	Book / Working Paper
Notes:	49 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005631438