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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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.

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Journal of Forecasting
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13 Jul 2012 15:31
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21 Nov 2022 22:32