کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
998146 1481439 2015 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal combination of survey forecasts
ترجمه فارسی عنوان
ترکیب بهینه پیش بینی های نظرسنجی
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی

We consider the problem of combining individual forecasts of real gross domestic product (GDP) growth and Harmonized Index of Consumer Prices (HICP) inflation from the Survey of Professional Forecasters (SPF) for the Euro area. Contrary to the common practice of using equal combination weights, we compute weights which are optimal in the sense that they minimize the mean square forecast error (MSFE) in the case of point forecasts and maximize a logarithmic score in the case of density forecasts. We show that this is a viable strategy even when the number of forecasts to be combined gets large, provided that we constrain these weights to be positive and to sum to one. Indeed, this enforces a form of shrinkage on the weights which ensures a reasonable out-of-sample performance of the combined forecasts.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 31, Issue 4, October–December 2015, Pages 1096–1103
نویسندگان
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