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Forecast Combination With Entry and Exit of Experts

  • Capistrán, Carlos
  • Timmermann, Allan

Combination of forecasts from survey data is complicated by the frequent entry and exit of individual forecasters which renders conventional least squares regression approaches infeasible. We explore the consequences of this issue for existing combination methods and propose new methods for bias-adjusting the equal-weighted forecast or applying combinations on an extended panel constructed by back-filling missing observations using an EM algorithm. Through simulations and an application to a range of macroeconomic variables we show that the entry and exit of forecasters can have a large effect on the real-time performance of conventional combination methods. The bias-adjusted combination method is found to work well in practice.

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File URL: http://pubs.amstat.org/doi/abs/10.1198/jbes.2009.07211
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Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 27 (2009)
Issue (Month): 4 ()
Pages: 428-440

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Handle: RePEc:bes:jnlbes:v:27:i:4:y:2009:p:428-440
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