Selecting Single Model in Combination Forecasting Based on Cointegration Test and Encompassing Test

Autor: Chuanjin Jiang, Jing Zhang, Fugen Song
Jazyk: angličtina
Rok vydání: 2014
Předmět:
Zdroj: The Scientific World Journal, Vol 2014 (2014)
Druh dokumentu: article
ISSN: 2356-6140
1537-744X
DOI: 10.1155/2014/621917
Popis: Combination forecasting takes all characters of each single forecasting method into consideration, and combines them to form a composite, which increases forecasting accuracy. The existing researches on combination forecasting select single model randomly, neglecting the internal characters of the forecasting object. After discussing the function of cointegration test and encompassing test in the selection of single model, supplemented by empirical analysis, the paper gives the single model selection guidance: no more than five suitable single models can be selected from many alternative single models for a certain forecasting target, which increases accuracy and stability.
Databáze: Directory of Open Access Journals
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