EconPapers    
Economics at your fingertips  
 

Forecast Uncertainty, Disagreement, and Linear Pools of Density Forecasts

Malte Knüppel and Fabian Krüger

Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking from Verein für Socialpolitik / German Economic Association

Abstract: In many empirical applications, a combined density forecast is constructed using the linear pool which aggregates several individual density forecasts. We analyze the linear pool in a mean/variance prediction space setup. Our theoretical results indicate that a well-known 'disagreement' term can be detrimental to the linear pool's assessment of forecast uncertainty. We demonstrate this argument in macroeconomic and financial forecasting case studies.

JEL-codes: C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-for
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/168294/1/VfS-2017-pid-3611.pdf (application/pdf)

Related works:
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:zbw:vfsc17:168294

Access Statistics for this paper

More papers in Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking from Verein für Socialpolitik / German Economic Association Contact information at EDIRC.
Series data maintained by ZBW - German National Library of Economics ().

 
Page updated 2018-01-18
Handle: RePEc:zbw:vfsc17:168294