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Combining Density and Interval Forecasts: A Modest Proposal*

Kenneth Wallis ()

Oxford Bulletin of Economics and Statistics, 2005, vol. 67, issue s1, 983-994

Abstract: The finite mixture distribution is proposed as an appropriate statistical model for a combined density forecast. Its implications for measures of uncertainty and disagreement, and for combining interval forecasts, are described. Related proposals in the literature and applications to the U.S. Survey of Professional Forecasters are discussed.

Date: 2005
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Handle: RePEc:bla:obuest:v:67:y:2005:i:s1:p:983-994