An empirical investigation of combinations of economic forecasts

Holden, K. and Peel, David (1986) An empirical investigation of combinations of economic forecasts. Journal of Forecasting, 5 (4). pp. 229-242. ISSN 0277-6693

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Abstract

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.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Forecasting
Uncontrolled Keywords:
/dk/atira/pure/researchoutput/libraryofcongress/hb
Subjects:
?? COMBINING FORECASTSECONOMETRIC FORECASTS REGRESSION LINEAR CONSTRAINTSECONOMICSMODELLING AND SIMULATIONSTRATEGY AND MANAGEMENTMANAGEMENT SCIENCE AND OPERATIONS RESEARCHSTATISTICS, PROBABILITY AND UNCERTAINTYCOMPUTER SCIENCE APPLICATIONSHB ECONOMIC THEORY ??
ID Code:
55834
Deposited By:
Deposited On:
13 Jul 2012 15:31
Refereed?:
Yes
Published?:
Published
Last Modified:
20 Sep 2023 00:22