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Combining expert forecasts: Can anything beat the simple average?

Veronique Genre, Geoff Kenny, Aidan Meyler and Allan Timmermann

International Journal of Forecasting, 2013, vol. 29, issue 1, 108-121

Abstract: This paper explores the gains from combining expert forecasts from the ECB Survey of Professional Forecasters (SPF). The analysis encompasses combinations based on principal components and trimmed means, performance-based weighting, and least squares estimates of optimal weights, as well as Bayesian shrinkage. For GDP growth and the unemployment rate, only few of the individual forecast combination schemes outperform the simple equally weighted average forecast in a pseudo-out-of-sample analysis, while there is stronger evidence of improvement over this benchmark for the inflation rate. Nonetheless, when we account for the effect of multiple model comparisons through White’s reality check, the results caution against any assumption that the improvements identified would persist in the future.

Keywords: Forecast combination; Forecast evaluation; Multiple model comparisons; Real-time data; Survey of Professional Forecasters (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:29:y:2013:i:1:p:108-121

DOI: 10.1016/j.ijforecast.2012.06.004

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