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An empirical investigation of combinations of economic forecasts

Research output: Contribution to journalJournal articlepeer-review

Published
<mark>Journal publication date</mark>10/1986
<mark>Journal</mark>Journal of Forecasting
Issue number4
Volume5
Number of pages14
Pages (from-to)229-242
Publication StatusPublished
<mark>Original language</mark>English

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.