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
Full text not available from this repository.Official URL: http://dx.doi.org/10.1002/for.3980050404
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: | Article |
|---|---|
| Journal or Publication Title: | Journal of Forecasting |
| Uncontrolled Keywords: | Combining forecasts ; Econometric forecasts ; Regression ; Linear constraints |
| Subjects: | H Social Sciences > HB Economic Theory |
| Departments: | Lancaster University Management School > Economics |
| ID Code: | 55834 |
| Deposited By: | ep_importer_pure |
| Deposited On: | 13 Jul 2012 16:31 |
| Refereed?: | Yes |
| Published?: | Published |
| Last Modified: | 26 Jul 2012 20:43 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/55834 |
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