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Relationship of Forecast Encompassing to Composite Forecasts with Simulations and an Application
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Liang, Kuoyuan | - |
dc.contributor.author | Ryu, Keunkwan | - |
dc.date.accessioned | 2009-01-29T01:07:18Z | - |
dc.date.available | 2009-01-29T01:07:18Z | - |
dc.date.issued | 2003-07 | - |
dc.identifier.citation | Seoul Journal of Economics, Vol.16 No.3, pp. 363-386 | - |
dc.identifier.issn | 1225-0279 | - |
dc.identifier.uri | https://hdl.handle.net/10371/1302 | - |
dc.description.abstract | This 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.iso | en | - |
dc.publisher | Institute of Economic Research, Seoul National University | - |
dc.subject | Choice of forecasts | - |
dc.subject | Composite forecasts | - |
dc.subject | Monte-Carlo simulation | - |
dc.title | Relationship of Forecast Encompassing to Composite Forecasts with Simulations and an Application | - |
dc.type | SNU Journal | - |
dc.contributor.AlternativeAuthor | 류근관 | - |
dc.citation.journaltitle | Seoul Journal of Economics | - |
dc.citation.endpage | 386 | - |
dc.citation.number | 3 | - |
dc.citation.pages | 363-386 | - |
dc.citation.startpage | 363 | - |
dc.citation.volume | 16 | - |
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