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The Accuracy of Short-Term Forecast Combinations

Eleonora Granziera (), Corinne Luu and Pierre St-Amant ()

Bank of Canada Review, 2013, vol. 2013, issue Summer, 13-21

Abstract: This article examines whether combining forecasts of real GDP from different models can improve forecast accuracy and considers which model-combination methods provide the best performance. In line with previous literature, the authors find that combining forecasts generally improves forecast accuracy relative to various benchmarks. Unlike several previous studies, however, they find that, rather than assigning equal weights to each model, unequal weighting based on the past forecast performance of models tends to improve accuracy when forecasts across models are substantially different.

Date: 2013
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