Confidence intervals for combined univariate economic forecasts
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Date
2009-02-02T10:42:25Z
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Abstract
Research in combining of economic forecasts made by several institutes on
the same economic variable has focused on estimation using mainly regression
based methods, hoping that the combined forecast will be improved by
incorporating the expert opinions of the institutes. We provide confidence
intervals on the combined forecast using analysis of variance techniques. A
scoring of the individual institutes is proposed by taking into account the
historical performance of the institutes in forecasting the quantity in question.
It is remarkable that no information is needed about the individual
precision or the variance of the forecasts.
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Keywords
Combining information, Expert opinion, Heteroscedastic variances