Combining Density and Interval Forecasts: A Modest Proposal*
Kenneth Wallis ()
Oxford Bulletin of Economics and Statistics, 2005, vol. 67, issue s1, 983-994
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.
References: View complete reference list from CitEc
Citations: View citations in EconPapers (77) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:67:y:2005:i:s1:p:983-994
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049
Access Statistics for this article
Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple
More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().