摘要:

AbstractThis paper deals with the economic interpretation of the unobserved components model in the light of the apparent problem posed by previous work in that several practiced methodologies seem to lead to very different models of certain economic variables. A detailed empirical analysis is carried out to show how the failure in obtaining quasi‐orthogonal components can seriously bias the interpretation of some decomposition procedures. Finally, the forecasting performance (in both the short and long run) of these decomposition models is analyzed in comparison with other alternative

ISSN:0277-6693    

DOI:10.1002/for.3980110802

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980110803

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980110804

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractForecasts are routinely revised, and these revisions are often the subject of informal analysis and discussion. This paper argues (1) that forecast revisions are analyzed because they help forecasters and forecast users to evaluate forecasts and forecasting procedures and (2) that these analyses can be sharpened by using the forecasting model to systematically express its forecast revision as the sum of components identified with specific subsets of new information, such as data revisions and forecast errors. An algorithm for this purpose is explained and illustrated.

ISSN:0277-6693    

DOI:10.1002/for.3980110805

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractThis paper addresses issues such as: Does it always pay to combine individual forecasts of a variable? Should one combine an unbiased forecast with one that is heavily biased? Should one use optimal weights as suggested by Bates and Granger over twenty years ago? A simple model which accounts for the main features of individual forecasts is put forward. Bayesian analysis of the model using noninformative and informative prior probability densities is provided which extends and generalizes results obtained by Winkler (1981) and compared with non‐Bayesian methods of combining forecasts relying explicitly on a statistical model for the individual forecasts. It is shown that in some instances it is sensible to use a simple average of individual forecasts instead of using Bates and Granger type weights. Finally, model uncertainty is considered and the issue of combining different models for individual forecasts is addresse

ISSN:0277-6693    

DOI:10.1002/for.3980110806

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractClemen's (1989) review of the forecast‐combining literature amply illustrates both the interest in and the importance of this subject. This article stresses the tautological properties of various consensus measures that assure their success relative to most individual forecasts. It confirms the finding of earlier studies that for each specific macroeconomic variable roughly one‐third of individual forecasters are more accurate than a consensus. However, each individual does relatively poorly for some variable while the consensus, in contrast, necessarily never fails relative to most individuals. These results, like most previous studies, describe consensus measures that are synthetic constructs derived from a pre‐existing set of individual forecasts. Strictly speaking, this contemporaneous consensus is not available to individual forecasters when their forecasts are made. A prior consensus measure, which is in their information sets, was relatively much less accurate than the contemporaneous measure. Nevertheless, a small subset of individual forecasters were generally inferior to the known, prior consensus for

ISSN:0277-6693    

DOI:10.1002/for.3980110807

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractThe purpose of this paper is to suggest that the maximum (or minimum) of a number of primary forecasts may make a valuable addition to the forecasting accuracy of a combination of forecasts. Such forecasts are readily computable. Theoretical results are presented for two unbiased forecasts with correlated normally distributed errors, showing that the maximum (minimum) of two forecasts can have a smaller error variance than either of the primary forecasts and the forecast error can have low correlation with the primary errors. Empirical results are obtained for two different sets of forecasts available in the literature, and it is observed that a combination forecast including the maximum and/or minimum has attractive forecasting properties.

ISSN:0277-6693    

DOI:10.1002/for.3980110808

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractBuilding on the well‐known measure of the optimal combining weights under the error‐variance minimizing criterion, this note has extended the sign‐determination rule to the case of combining more than two competing forecasts. The algebraic rule derived provides a quick way to check the sign of each combining weight without directly comparing the correlation and variances of individual forecasting e

ISSN:0277-6693    

DOI:10.1002/for.3980110809

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980110801

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY