[Gretl-users] Re: split dependent variable
On Wed, 2 Dec 2020, Stefano wrote:
The problem reminds me of the issue "forecasting the aggregate
vs summing
disaggregate forecasts". Hendry and Hubrich (2011) "Combining Disaggregate
Forecasts or Combining Disaggregate Information to Forecast an
Aggregate",Journal of Business & Economic Statistics, conclude on the basis
of the RMSFEs (no tests) that direct forecasting of the aggregate is better
than combining disaggregate forecasts. In this persepctive you could use a
Diebold-Mariano test.
Thanks for the reference, Stefano -- that sounds very much like the
problem I'm addressing.
Allin