Confidence intervals for combined univariate economic forecasts

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.