Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Combining Economic Forecasts
AU - Peel, David
PY - 1988/11
Y1 - 1988/11
N2 - 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.
AB - 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.
KW - economics
KW - forecasting
KW - time series
U2 - 10.1057/jors.1988.170
DO - 10.1057/jors.1988.170
M3 - Journal article
VL - 39
SP - 1005
EP - 1010
JO - Journal of the Operational Research Society
JF - Journal of the Operational Research Society
SN - 0160-5682
IS - 11
ER -