CAN A SUBSET OF FORECASTERS BEAT THE SIMPLE AVERAGE IN THE SPF?

Constantin Bürgi

No 2015-001, Working Papers from The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting

Abstract: The forecast combination literature has optimal combination methods, however, empirical studies have shown that the simple average is notoriously difficult to improve upon. This paper introduces a novel way to choose a subset of forecasters who might have specialized knowledge to improve upon the simple average over all forecasters in the SPF. In particular, taking the average of forecasters that recently beat the simple average more than the calibrated threshold of 52.5% of times can statistically significantly outperform the simple average for 10-year treasury bond yields, CPI inflation and unemployment at some horizons.

Keywords: Forecast combination; Forecast evaluation; Multiple model comparisons; Real-time data; Survey of Professional Forecasters (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2015-03
New Economics Papers: this item is included in nep-ets and nep-for
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