Journal article
Selecting a model for forecasting
- Abstract:
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We investigate forecasting in models that condition on variables for which future values are unknown. We consider the role of the significance level because it guides the binary decisions whether to include or exclude variables. The analysis is extended by allowing for a structural break, either in the first forecast period or just before. Theoretical results are derived for a three-variable static model, but generalized to include dynamics and many more variables in the simulation experiment...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Version of record, 515.9KB)
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- Publisher copy:
- 10.3390/econometrics9030026
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Authors
Bibliographic Details
- Publisher:
- MDPI Publisher's website
- Journal:
- Econometrics Journal website
- Volume:
- 9
- Issue:
- 3
- Article number:
- 26
- Publication date:
- 2021-06-25
- Acceptance date:
- 2021-06-17
- DOI:
- ISSN:
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2225-1146
Item Description
- Language:
- English
- Keywords:
- Pubs id:
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1183073
- Local pid:
- pubs:1183073
- Deposit date:
- 2021-06-22
Terms of use
- Copyright holder:
- Castle et al.
- Copyright date:
- 2021
- Rights statement:
- ©2021 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https:// creativecommons.org/licenses/by/ 4.0/).
- Licence:
- CC Attribution (CC BY)
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