Forecast Uncertainty, Disagreement, and Linear Pools of Density Forecasts

Malte Knüppel and Fabian Krüger

VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking from Verein für Socialpolitik / German Economic Association

Abstract: In many empirical applications, a combined density forecast is constructed using the linear pool which aggregates several individual density forecasts. We analyze the linear pool in a mean/variance prediction space setup. Our theoretical results indicate that a well-known 'disagreement' term can be detrimental to the linear pool's assessment of forecast uncertainty. We demonstrate this argument in macroeconomic and financial forecasting case studies.

JEL-codes: C53 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-ecm and nep-for
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Forecast uncertainty, disagreement, and the linear pool (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc17:168294

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