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Combined Forecasts Using the Akaike Weights

Dynamic Econometric Models

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Title Combined Forecasts Using the Akaike Weights
 
Creator Piłatowska, Mariola; Nicolaus Copernicus University in Toruń
 
Subject combining forecasts, weighting schemes, information criteria
 
Description The focus in the paper is on the information criteria approach and especially the Akaike information criterion which is used to obtain the Akaike weights. This approach enables to receive not one best model, but several plausible models for which the ranking can be built using the Akaike weights. This set of candidate models is the basis of calculating individual forecasts, and then for combining forecasts using the Akaike weights. The procedure of obtaining the combined forecasts using the AIC weights is proposed. The performance of combining forecasts with the AIC weights and equal weights with regard to individual forecasts obtained from models selected by the AIC criterion and the a posteriori selection method is compared in simulation experiment. The conditions when the Akaike weights are worth to use in combining forecasts were indicated. The use of the information criteria approach to obtain combined forecasts as an alternative to formal hypothesis testing was recommended.
 
Publisher Nicolaus Copernicus University
 
Contributor —
 
Date 2009-07-18
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2009.001
10.12775/DEM.2009.001
 
Source Dynamic Econometric Models; Vol 9 (2009); 5-16
Dynamic Econometric Models; Vol 9 (2009); 5-16
2450-7067
1234-3862
 
Language eng
 
Relation http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2009.001/4034