EconPapers    
Economics at your fingertips  
 

Combining probability forecasts

Michael Clements and David Harvey

International Journal of Forecasting, 2011, vol. 27, issue 2, 208-223

Abstract: We consider different methods for combining probability forecasts. In empirical exercises, the data generating process of the forecasts and the event being forecast is not known, and therefore the optimal form of combination will also be unknown. We consider the properties of various combination schemes for a number of plausible data generating processes, and indicate which types of combinations are likely to be useful. We also show that whether forecast encompassing is found to hold between two rival sets of forecasts or not may depend on the type of combination adopted. The relative performances of the different combination methods are illustrated, with an application to predicting recession probabilities using leading indicators.

Keywords: Probability forecasts; Forecast combinations; Recession probabilities (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0169207010000075
Full text for ScienceDirect subscribers only

Related works:
Journal Article: Combining probability forecasts (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:27:y:2011:i:2:p:208-223

Access Statistics for this article

International Journal of Forecasting is currently edited by R. J. Hyndman

More articles in International Journal of Forecasting from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-10-01
Handle: RePEc:eee:intfor:v:27:y:2011:i:2:p:208-223