Journal
INTERNATIONAL JOURNAL OF FORECASTING
Volume 29, Issue 1, Pages 108-121Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.ijforecast.2012.06.004
Keywords
Forecast combination; Forecast evaluation; Multiple model comparisons; Real-time data; Survey of Professional Forecasters
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This paper explores the gains from combining expert forecasts from the ECB Survey of Professional Forecasters (SPF). The analysis encompasses combinations based on principal components and trimmed means, performance-based weighting, and least squares estimates of optimal weights, as well as Bayesian shrinkage. For GDP growth and the unemployment rate, only few of the individual forecast combination schemes outperform the simple equally weighted average forecast in a pseudo-out-of-sample analysis, while there is stronger evidence of improvement over this benchmark for the inflation rate. Nonetheless, when we account for the effect of multiple model comparisons through White's reality check, the results caution against any assumption that the improvements identified would persist in the future. (C) 2012 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
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