Artikel
Forecast uncertainty, disagreement, and the linear pool
The linear pool is the most popular method for combining density forecasts. We analyze its implications concerning forecast uncertainty, using a new framework that focuses on the means and variances of the individual and combined forecasts. Our results show that, if the variance predictions of the individual forecasts are unbiased, the well‐known "disagreement" component of the linear pool exacerbates the upward bias of its variance prediction. This finding suggests the removal of the disagreement component from the linear pool. The resulting centered linear pool outperforms the linear pool in simulations and an empirical application to inflation.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Applied Econometrics ; ISSN: 1099-1255 ; Volume: 37 ; Year: 2021 ; Issue: 1 ; Pages: 23-41 ; Hoboken, USA: Wiley Periodicals, Inc.
- Klassifikation
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Wirtschaft
- Ereignis
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Geistige Schöpfung
- (wer)
-
Knüppel, Malte
Krüger, Fabian
- Ereignis
-
Veröffentlichung
- (wer)
-
Wiley Periodicals, Inc.
- (wo)
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Hoboken, USA
- (wann)
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2021
- DOI
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doi:10.1002/jae.2834
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Knüppel, Malte
- Krüger, Fabian
- Wiley Periodicals, Inc.
Entstanden
- 2021
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