论文信息 - An empirical investigation of combinations of economic forecasts

An empirical investigation of combinations of economic forecasts

This paper examines the effects of combining three econometric and three times-series forecasts of growth and inflation in the U.K. If forecasts are unbiased then a combination exploiting this fact will be more efficient than an unrestricted combination. Ex post econometric forecasts may be biased but ex ante they are unbiased. The results of the study are that a restricted linear combination of the econometric forecasts is superior to an unrestricted combination and also to the unweighted mean of the forecasts. However, it is not preferred to the best of the individual forecasts.

K. Holden | David Peel

[1] R. Clemen. Linear constraints and the efficiency of combined forecasts , 1986 .

[2] Michael D. Geurts,et al. Comparing the Box-Jenkins Approach with the Exponentially Smoothed Forecasting Model Application to Hawaii Tourists , 1975 .

[3] S. L. Meyers. A RE‐EXAMINATION OF MARKET AND INDUSTRY FACTORS IN STOCK PRICE BEHAVIOR , 1973 .

[4] Stephen Figlewski,et al. Optimal Aggregation of Money Supply Forecasts: Accuracy, Profitability and Market Efficiency , 1983 .

[5] C. Granger,et al. Experience with Forecasting Univariate Time Series and the Combination of Forecasts , 1974 .

[6] Gene K. Groff. Empirical Comparison of Models for Short Range Forecasting , 1973 .

[7] Stephen Figlewski,et al. Optimal Price Forecasting Using Survey Data , 1983 .

[8] Robert L. Winkler,et al. The Forecasting accuracy of major time series methods , 1986 .

[9] Ron C. Mittelhammer,et al. Introduction to the Theory and Practice of Econometrics , 1988 .

[10] C. Granger,et al. Improved methods of combining forecasts , 1984 .

[11] J. M. Bates,et al. The Combination of Forecasts , 1969 .

[12] Giles Keating. The production and use of economic forecasts , 1985 .

[13] Michèle Hibon,et al. Accuracy of Forecasting: An Empirical Investigation , 1979 .