Clements, Michael P. and Harvey, David I.. (2011) Combining probability forecasts. International Journal of Forecasting, Vol.27 (No.2). pp. 208-223. ISSN 0169-2070

Full text not available from this repository.

Abstract

We consider different methods for combining probability forecasts. In empirical exercises, the data generating process of the forecasts and the event being forecast is not known, and therefore the optimal form of combination will also be unknown. We consider the properties of various combination schemes for a number of plausible data generating processes, and indicate which types of combinations are likely to be useful. We also show that whether forecast encompassing is found to hold between two rival sets of forecasts or not may depend on the type of combination adopted. The relative performances of the different combination methods are illustrated, with an application to predicting recession probabilities using leading indicators. (C) 2010 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	Faculty of Social Sciences > Economics
Journal or Publication Title:	International Journal of Forecasting
Publisher:	Elsevier
ISSN:	0169-2070
Date:	April 2011
Volume:	Vol.27
Number:	No.2
Page Range:	pp. 208-223
Identification Number:	10.1016/j.ijforecast.2009.12.016
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
URI:	http://wrap.warwick.ac.uk/id/eprint/41735

Data sourced from Thomson Reuters' Web of Knowledge

Request changes to a record

Actions (login required)

View Item