期刊
JOURNAL OF FORECASTING
卷 32, 期 2, 页码 151-166出版社
WILEY
DOI: 10.1002/for.1261
关键词
target rate; probit model; forecast combination; mixed data frequencies
This paper applies a triple-choice ordered probit model, corrected for nonstationarity to forecast monetary decisions of the Reserve Bank of Australia. The?forecast models incorporate a mix of monthly and quarterly macroeconomic time series. Forecast combination is used as an alternative to one multivariate model to improve accuracy of out-of-sample forecasts. This accuracy is evaluated with scoring functions, which are also used to construct adaptive weights for combining probability forecasts. This paper finds that combined forecasts outperform multivariable models. These results are robust to different sample sizes and estimation windows. Copyright (c) 2011 John Wiley & Sons, Ltd.
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