Combining expert forecasts: Can anything beat the simple average?
Veronique Genre,
Geoff Kenny,
Aidan Meyler and
Allan Timmermann
International Journal of Forecasting, 2013, vol. 29, issue 1, 108-121
Abstract:
This paper explores the gains from combining expert forecasts from the ECB Survey of Professional Forecasters (SPF). The analysis encompasses combinations based on principal components and trimmed means, performance-based weighting, and least squares estimates of optimal weights, as well as Bayesian shrinkage. For GDP growth and the unemployment rate, only few of the individual forecast combination schemes outperform the simple equally weighted average forecast in a pseudo-out-of-sample analysis, while there is stronger evidence of improvement over this benchmark for the inflation rate. Nonetheless, when we account for the effect of multiple model comparisons through White’s reality check, the results caution against any assumption that the improvements identified would persist in the future.
Keywords: Forecast combination; Forecast evaluation; Multiple model comparisons; Real-time data; Survey of Professional Forecasters (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (162)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016920701200088X
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:29:y:2013:i:1:p:108-121
DOI: 10.1016/j.ijforecast.2012.06.004
Access Statistics for this article
International Journal of Forecasting is currently edited by R. J. Hyndman
More articles in International Journal of Forecasting from Elsevier
Bibliographic data for series maintained by Catherine Liu ().