Can A Subset Of Forecasters Beat The Simple Average In The Spf?
The forecast combination literature has optimal combination methods, however, empirical studies have shown that the simple average is notoriously difficult to improve upon. This paper introduces a novel way to choose a subset of forecasters who might have specialized knowledge to improve upon the simple average over all forecasters in the SPF. In particular, taking the average of forecasters that recently beat the simple average more than the calibrated threshold of 52.5% of times can statistically significantly outperform the simple average for 10-year treasury bond yields, CPI inflation and unemployment at some horizons.
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- Antonello D’Agostino & Kieran Mcquinn & Karl Whelan, 2012.
"Are Some Forecasters Really Better Than Others?,"
Journal of Money, Credit and Banking,
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- Antonello D'Agostino & Kieran McQuinn & Karl Whelan, 2010. "Are some forecasters really better than others?," Working Papers 201012, School of Economics, University College Dublin.
- D'Agostino, Antonello & McQuinn, Kieran & Whelan, Karl, 2010. "Are Some Forecasters Really Better Than Others?," Research Technical Papers 5/RT/10, Central Bank of Ireland.
- D'Agostino, Antonello & McQuinn, Kieran & Whelan, Karl, 2011. "Are some forecasters really better than others?," MPRA Paper 32938, University Library of Munich, Germany.
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- Genre, Véronique & Kenny, Geoff & Meyler, Aidan & Timmermann, Allan, 2013. "Combining expert forecasts: Can anything beat the simple average?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 108-121.
- Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
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- Batchelor, R A, 1990. "All Forecasters Are Equal," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 143-144, January. Full references (including those not matched with items on IDEAS)
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