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Garratt, Anthony, Henckel, Timo and Vahey, Shaun P. (2023) Empirically-transformed linear opinion pools. International Journal of Forecasting, 39 (2). pp. 736-753. doi:10.1016/j.ijforecast.2022.02.003 ISSN 0169-2070.
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WRAP-empirically-transformed-linear-opinion-pools-Garratt-2022.pdf - Accepted Version Embargoed item. Restricted access to Repository staff only until 21 March 2024. Contact author directly, specifying your specific needs. - Requires a PDF viewer. Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (613Kb) |
Official URL: https://doi.org/10.1016/j.ijforecast.2022.02.003
Abstract
The linear opinion pool (LOP) produces potentially non-Gaussian combination forecast densities. In this paper, we propose a computationally convenient transformation for the LOP to mirror the non-Gaussianity exhibited by the target variable. Our methodology involves a Smirnov transform to reshape the LOP combination forecasts using the empirical cumulative distribution function. We illustrate our empirically transformed opinion pool (EtLOP) approach with an application examining quarterly real-time forecasts for U.S. inflation evaluated on a sample from 1990:1 to 2020:2. EtLOP improves performance by approximately 10% to 30% in terms of the continuous ranked probability score across forecasting horizons.
| Item Type: | Journal Article | ||||||||
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| Subjects: | H Social Sciences > HB Economic Theory | ||||||||
| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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| SWORD Depositor: | Library Publications Router | ||||||||
| Library of Congress Subject Headings (LCSH): | Economic forecasting, Economic forecasting -- Econometric models, Inflation (Finance) | ||||||||
| Journal or Publication Title: | International Journal of Forecasting | ||||||||
| Publisher: | Elsevier | ||||||||
| ISSN: | 0169-2070 | ||||||||
| Official Date: | April 2023 | ||||||||
| Dates: |
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| Volume: | 39 | ||||||||
| Number: | 2 | ||||||||
| Page Range: | pp. 736-753 | ||||||||
| DOI: | 10.1016/j.ijforecast.2022.02.003 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||
| Date of first compliant deposit: | 27 April 2022 |
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