| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5368 |
| DP5368 The Role of Equality and Efficiency in Social Preferences | |
| Klaus Schmidt; Ernst Fehr; Michael Naef | |
| 发表日期 | 2005-11-28 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | Forecast combinations have frequently been found in empirical studies to produce better forecasts on average than methods based on the ex-ante best individual forecasting model. Moreover, simple combinations that ignore correlations between forecast errors often dominate more refined combination schemes aimed at estimating the theoretically optimal combination weights. In this paper we analyse theoretically the factors that determine the advantages from combining forecasts (for example, the degree of correlation between forecast errors and the relative size of the individual models? forecast error variances). Although the reasons for the success of simple combination schemes are poorly understood, we discuss several possibilities related to model misspecification, instability (non-stationarities) and estimation error in situations where the numbers of models is large relative to the available sample size. We discuss the role of combinations under asymmetric loss and consider combinations of point, interval and probability forecasts. |
| 主题 | Financial Economics |
| 关键词 | Forecast combinations Pooling and trimming Shrinkage methods Model misspecification Diversification gains |
| URL | https://cepr.org/publications/dp5368 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534236 |
| 推荐引用方式 GB/T 7714 | Klaus Schmidt,Ernst Fehr,Michael Naef. DP5368 The Role of Equality and Efficiency in Social Preferences. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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