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

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  • Constantin Burgi

    () (The George Washington University)

Abstract

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.

Suggested Citation

  • Constantin Burgi, 2015. "Can A Subset Of Forecasters Beat The Simple Average In The Spf?," Working Papers 2015-001, The George Washington University, Department of Economics, Research Program on Forecasting.
  • Handle: RePEc:gwc:wpaper:2015-001
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    File URL: https://www2.gwu.edu/~forcpgm/2015-001.pdf
    File Function: First version, 2015
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    References listed on IDEAS

    as
    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, June.
    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, May.
    6. 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)

    More about this item

    Keywords

    Forecast combination; Forecast evaluation; Multiple model comparisons; Real-time data; Survey of Professional Forecasters;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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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