| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9096 |
| DP9096 Optimal Combination of Survey Forecasts | |
| Domenico Giannone; Christine De Mol | |
| 发表日期 | 2012-08-19 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We consider the problem of optimally combining individual forecasts of gross domestic product (GDP) and inflation from the Survey of Professional Forecasters (SPF) dataset for the Euro Area. Contrary to the common practice of using equal combination weights, we compute optimal weights which minimize the mean square forecast error (MSFE) in the case of point forecasts and maximize a logarithmic score in the case of density forecasts. We show that this is a viable strategy even when the number of forecasts to combine gets large, provided we constrain these weights to be positive and to sum to one. Indeed, this enforces a form of shrinkage on the weights which ensures good out-of-sample performance of the combined forecasts. |
| 主题 | International Macroeconomics |
| 关键词 | Forecast combination Forecast evaluation High-dimensional data Real-time data Shrinkage Survey of professional forecasters |
| URL | https://cepr.org/publications/dp9096 |
| 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/537929 |
| 推荐引用方式 GB/T 7714 | Domenico Giannone,Christine De Mol. DP9096 Optimal Combination of Survey Forecasts. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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