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Combining Economic Forecasts

Peel, David (1988) Combining Economic Forecasts. Journal of the Operational Research Society, 39 (11). pp. 1005-1010. ISSN 0160-5682

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Abstract

It is well known that no particular forecasting agency dominates when the accuracy of economic forecasts of the UK is investigated. There are good reasons for believing that if forecasts differ, some combination of them will be an improvement over the individual forecasts. The problem is to determine what weights to attach to each forecast. Various methods have been suggested in the literature, including equal weights (averaging), optimal weights (linear regression), varying weights based on past performance, and the Bayesian approach. We review these methods and examine their performance for important macro-economic variables.

Item Type: Article
Journal or Publication Title: Journal of the Operational Research Society
Uncontrolled Keywords: economics ; forecasting ; time series
Subjects: H Social Sciences > HB Economic Theory
Departments: Lancaster University Management School > Economics
ID Code: 55836
Deposited By: ep_importer_pure
Deposited On: 13 Jul 2012 16:36
Refereed?: Yes
Published?: Published
Last Modified: 26 Jul 2012 20:43
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/55836

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