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Relationship of Forecast Encompassing to Composite Forecasts with Simulations and an Application

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dc.contributor.authorLiang, Kuoyuan-
dc.contributor.authorRyu, Keunkwan-
dc.date.accessioned2009-01-29T01:07:18Z-
dc.date.available2009-01-29T01:07:18Z-
dc.date.issued2003-
dc.identifier.citationSeoul Journal of Economics 16 (No. 3 2003): 363-386en
dc.identifier.issn1225-0279-
dc.identifier.urihttp://hdl.handle.net/10371/1302-
dc.description.abstractThis paper examines the role of forecast-encompassing principles in model-specification searches through the use of linear composite forecasts. Based on the results of the pairwise forecast-encompassing test, this paper outlines a conceptual framework to provide some useful insights on cross-model evaluations in econometrics and the selection of predictors in composite forecasts. Second, it offers three different ways of performing the encompassing test and compares their finite sample performance through a Monte Carlo simulation study. Test results guide researchers to choose component forecasts and thus to avoid blind pooling in the combining regression.-
dc.language.isoenen
dc.publisherSeoul Journal of Economicsen
dc.subjectChoice of forecastsen
dc.subjectComposite forecastsen
dc.subjectMonte-Carlo simulationen
dc.titleRelationship of Forecast Encompassing to Composite Forecasts with Simulations and an Applicationen
dc.typeSNU Journalen
dc.contributor.AlternativeAuthor류근관-
Appears in Collections:
College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.16(3) (Fall 2003)
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