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A Bayesian method of combining judgmental and model-based density forecasts

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  • Kocięcki, Andrzej
  • Kolasa, Marcin
  • Rubaszek, Michał

Abstract

This paper introduces a formal method of combining expert and model density forecasts when the sample of past forecasts is unavailable. It works directly with the expert forecast density and endogenously delivers weights for forecast combination, relying on probability rules only. The empirical part of the paper illustrates how the framework can be applied in forecasting US inflation by mixing density forecasts from an autoregressive model and the Survey of Professional Forecasters.

Suggested Citation

  • Kocięcki, Andrzej & Kolasa, Marcin & Rubaszek, Michał, 2012. "A Bayesian method of combining judgmental and model-based density forecasts," Economic Modelling, Elsevier, vol. 29(4), pages 1349-1355.
    • Handle: RePEc:eee:ecmode:v:29:y:2012:i:4:p:1349-1355
    DOI: 10.1016/j.econmod.2012.03.004
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    References listed on IDEAS

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    3. Yuri S. Popkov & Yuri A. Dubnov & Alexey Yu. Popkov, 2016. "New Method of Randomized Forecasting Using Entropy-Robust Estimation: Application to the World Population Prediction," Mathematics, MDPI, vol. 4(1), pages 1-16, March.
    4. repec:aaa:journl:v:3:y:1999:i:1:p:87-100 is not listed on IDEAS
    5. Kortelainen, Mika & Paloviita, Maritta & Viren, Matti, 2016. "How useful are measured expectations in estimation and simulation of a conventional small New Keynesian macro model?," Economic Modelling, Elsevier, vol. 52(PB), pages 540-550.

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    More about this item

    Keywords

    Combining density forecasts; Forecast evaluation; Bayesian inference; Predictivism;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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