Palgrave Handbook of Econometrics: Applied Econometrics

172 Forecast Combination and Encompassing encompassing), we take the forecasts as given, and do not consider issues related to t ...

Michael P. Clements and David I. Harvey 173 forecast errors bye 1 t,e 2 t,t=1,...,n, the obvious estimator is given by: λˆopt= ∑ ...

174 Forecast Combination and Encompassing The above methods of combining forecasts are simple and straightforward to implement, ...

Michael P. Clements and David I. Harvey 175 where: ! ( ztγi ) = ( 1 +exp [ − ( γ 0 i+γ 1 iz 1 t+γ 2 iz 2 t )])− 1 , andzit=s−y^1 ...

176 Forecast Combination and Encompassing withX 1 tandX 2 tscalar explanatory variables underpinning the two forecasts, although ...

Michael P. Clements and David I. Harvey 177 The Chong and Hendry (1986) definition can be obtained by assumingf 1 tin FE(1) to b ...

178 Forecast Combination and Encompassing FE(2) and FE(3), the null and alternative hypotheses take the same form as above but w ...

Michael P. Clements and David I. Harvey 179 who presented such an approach for testing the null of equal forecast accuracy. Unde ...

180 Forecast Combination and Encompassing with the corresponding specification fordtbeingdt=η 1 tη 2 t; in practice,η 1 tand η 2 ...

Michael P. Clements and David I. Harvey 181 As in the previous section, assume that a record ofnpast forecasts and actuals are a ...

182 Forecast Combination and Encompassing and where the parametersδdgandδggare given in the following table: Estimation scheme δ ...

Michael P. Clements and David I. Harvey 183 + 2 R^1 /^2 (θˆ 1 −θ 1 )R^1 /^2 (θˆ 2 −θ 2 )(n−^1 ∑R+n+h− 1 t=R+h e^2 tX^1 t)(n − 1 ...

184 Forecast Combination and Encompassing There are, however, a number of special cases where the forecast encompass- ing tests ...

Michael P. Clements and David I. Harvey 185 the FE(3) regression with the regressors from Model 1, i.e., in the above example, r ...

186 Forecast Combination and Encompassing case 0<π<∞ (withπ=limR,n→∞(n/R)as before), is given by: MDM⇒  1 √  2 , (4.18) ...

Michael P. Clements and David I. Harvey 187 simulation evidence suggests that the latter approach yields considerably better fin ...

188 Forecast Combination and Encompassing An implication of evaluating methods rather than models is that it may be opti- mal to ...

Michael P. Clements and David I. Harvey 189 become apparent by contrasting their null hypotheses for a general test of equal for ...

190 Forecast Combination and Encompassing leads to those elements not being included inht− 1 :ht− 1 should include variables tha ...

Michael P. Clements and David I. Harvey 191 under (i). Granger, White and Kamstra (1989, note c to Table 1, p. 91) suggest using ...