EconPapers    
Economics at your fingertips  
 

Forecast Combination with Entry and Exit of Experts

Allan Timmermann and Carlos Capistrán ()

No 2006-08, Working Papers from Banco de México

Abstract: Combination of forecasts from survey data is complicated by the frequent entry and exit in real time of individual forecasters which renders conventional least squares regression approaches to estimation of the combination weights infeasible. We explore the consequences of this for a variety of forecast combination methods in common use and propose a new method that projects actual outcomes on the equal-weighted forecast as a means of adjusting for biases and noise in the underlying forecasts. Through simulations and an empirical application to inflation forecasts we show that the entry and exit of individual forecasters can have a large effect on the real time performance of conventional forecast combination methods. We also find that the proposed projection on the equal-weighted forecast works well in practice.

JEL-codes: C53 E37 (search for similar items in EconPapers)
Date: 2006-09
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (308)

Downloads: (external link)
https://www.banxico.org.mx/publications-and-press/ ... -661FD9C65C6B%7D.pdf (application/pdf)

Related works:
Journal Article: Forecast Combination With Entry and Exit of Experts (2009) Downloads
Working Paper: Forecast Combination With Entry and Exit of Experts (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdm:wpaper:2006-08

Access Statistics for this paper

More papers in Working Papers from Banco de México Contact information at EDIRC.
Bibliographic data for series maintained by Subgerencia de desarrollo de sistemas ().

 
Page updated 2025-03-19
Handle: RePEc:bdm:wpaper:2006-08