Optimal prediction pools

John Geweke and Gianni Amisano

Journal of Econometrics, 2011, vol. 164, issue 1, 130-141

Abstract: We consider the properties of weighted linear combinations of prediction models, or linear pools, evaluated using the log predictive scoring rule. Although exactly one model has limiting posterior probability, an optimal linear combination typically includes several models with positive weights. We derive several interesting results: for example, a model with positive weight in a pool may have zero weight if some other models are deleted from that pool. The results are illustrated using S&P 500 returns with six prediction models. In this example models that are clearly inferior by the usual scoring criteria have positive weights in optimal linear pools.

Keywords: Forecasting; Log; scoring; Model; combination; S&P; 500; returns (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (256)

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Related works:
Working Paper: Optimal Prediction Pools (2009)
Working Paper: Optimal Prediction Pools (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:164:y:2011:i:1:p:130-141

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