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Combining The Forecasts Using A Statistical Approach

Author

Listed:
  • Dospinescu, Andrei Silviu

    () (Institute for Economic Forecasting)

Abstract

The paper analyzes the circumstances in which the combination of forecasts yields better results than the use of the forecasts separately. We propose a method of combining forecasts based on their efficiency on long and medium-term using as benchmarks the combination of forecasts based on regression and the combination of forecasts based on the “hits and misses” criterion proposed by Wenzel (2001). We suggest a method for the calculation of the coefficient of the Wenzel method and we use the method to identify the efficiency of the forecasts on medium and long-term.

Suggested Citation

  • Dospinescu, Andrei Silviu, 2005. "Combining The Forecasts Using A Statistical Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 2(2), pages 72-84.
  • Handle: RePEc:rjr:romjef:v:2:y:2005:i:2:p:72-84
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    Cited by:

    1. Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.

    More about this item

    Keywords

    combination of forecasts; long-term and medium-term efficiency; mean and standard deviation;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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