Combination of Forecasts: An Extension

Sunil Gupta and Peter C. Wilton
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Sunil Gupta: Graduate School of Business, Columbia University, New York, New York 10027
Peter C. Wilton: School of Business Administration, University of California, 350 Barrows Hall, Berkeley, California 94720

Management Science, 1987, vol. 33, issue 3, 356-372

Abstract: Existing approaches to combining multiple forecasts generally offer either theoretical richness or empirical robustness, but not both together. In this paper, we propose a new method for combining forecasts which attempts to overcome this imbalance. The method allows easy inclusion of relevant subjective and empirical information about the forecasts, while providing weights which are: (i) intuitively meaningful, and (ii) not dependent upon large numbers of observations of prior forecast accuracy. Results of a simulation experiment show the method to be highly robust, and significantly superior to existing approaches under many conditions.

Keywords: plural analysis; weighting methods; outperformance; odds-matrix (search for similar items in EconPapers)
Date: 1987
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:33:y:1987:i:3:p:356-372

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