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Generalised density forecast combinations
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Kapetanios, G., Mitchell, James, Price, S. and Fawcett, N. (2015) Generalised density forecast combinations. Journal of Econometrics, Volume 188 (Number 1). pp. 150-165. doi:10.1016/j.jeconom.2015.02.047 ISSN 0304-4076.
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Official URL: http://dx.doi.org/10.1016/j.jeconom.2015.02.047
Abstract
Density forecast combinations are becoming increasingly popular as a means of improving forecast ‘accuracy’, as measured by a scoring rule. In this paper we generalise this literature by letting the combination weights follow more general schemes. Sieve estimation is used to optimise the score of the generalised density combination where the combination weights depend on the variable one is trying to forecast. Specific attention is paid to the use of piecewise linear weight functions that let the weights vary by region of the density. We analyse these schemes theoretically, in Monte Carlo experiments and in an empirical study. Our results show that the generalised combinations outperform their linear counterparts.
Item Type: | Journal Article | ||||||||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Global Energy Faculty of Social Sciences > Warwick Business School |
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Library of Congress Subject Headings (LCSH): | Economic forecasting | ||||||||||
Journal or Publication Title: | Journal of Econometrics | ||||||||||
Publisher: | Elsevier BV * North-Holland | ||||||||||
ISSN: | 0304-4076 | ||||||||||
Official Date: | September 2015 | ||||||||||
Dates: |
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Volume: | Volume 188 | ||||||||||
Number: | Number 1 | ||||||||||
Number of Pages: | 15 | ||||||||||
Page Range: | pp. 150-165 | ||||||||||
DOI: | 10.1016/j.jeconom.2015.02.047 | ||||||||||
Status: | Peer Reviewed | ||||||||||
Publication Status: | Published |
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