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Can A Subset Of Forecasters Beat The Simple Average In The Spf?

Listed author(s):
  • Constantin Burgi

    ()

    (The George Washington University)

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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File URL: https://www2.gwu.edu/~forcpgm/2015-001.pdf
File Function: First version, 2015
Download Restriction: no

Paper provided by The George Washington University, Department of Economics, Research Program on Forecasting in its series Working Papers with number 2015-001.

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Length: 15 pages
Date of creation: Mar 2015
Handle: RePEc:gwc:wpaper:2015-001
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Web page: https://www2.gwu.edu/~forcpgm
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  1. Antonello D’Agostino & Kieran Mcquinn & Karl Whelan, 2012. "Are Some Forecasters Really Better Than Others?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(4), pages 715-732, 06.
  2. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
  3. 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.
  4. 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.
  5. G. Elliott & C. Granger & A. Timmermann (ed.), 2006. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 1, number 1.
  6. Batchelor, R A, 1990. "All Forecasters Are Equal," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 143-144, January.
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