This paper investigates whether and to what extent multiple encompassing tests may help determine weights for forecast averaging in a standard vector autoregressive setting. To this end we consider a new test-based procedure, which assigns non-zero weights to candidate models that add information no
ON COMPARING MACROECONOMIC MODELS USING FORECAST ENCOMPASSING TESTS
โ Scribed by M. J. Andrews; A. P. L. Minford; J. Riley
- Book ID
- 115232876
- Publisher
- John Wiley and Sons
- Year
- 2009
- Tongue
- English
- Weight
- 248 KB
- Volume
- 58
- Category
- Article
- ISSN
- 0140-5543
No coin nor oath required. For personal study only.
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