Forecast Combinations

Research, Preprint OPEN
Marco Aiolfi ; Carlos Capistrán ; Allan Timmermann (2010)
  • Publisher: Ciudad de México: Banco de México
  • Subject: C53 | E | Non-linear Forecasts | Survey Forecasts | Prognoseverfahren | Wirtschaftsprognose | Univariate Forecasts | Factor Based Forecasts, Non-linear Forecasts, Structural Breaks, Survey Forecasts, Univariate Forecasts. | Faktorenanalyse | Factor Based Forecasts | Structural Breaks | Modellierung
    • jel: jel:C53 | jel:E
      ddc: ddc:330
    acm: ComputingMilieux_GENERAL | ComputerApplications_MISCELLANEOUS
    arxiv: Physics::Atmospheric and Oceanic Physics

We consider combinations of subjective survey forecasts and model-based forecasts from linear and non-linear univariate specifications as well as multivariate factor-augmented models. Empirical results suggest that a simple equal-weighted average of survey forecasts out... View more
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