Konferenzbeitrag
When does information on forecast variance improve the performance of a combined forecast?
We show that the consensus forecast can be biased if some forecasters minimize an asymmetric loss function and the DGP features conditional heteroscedasticity. The time-varying bias depends on the variance of the process. As a consequence, the information from the ex-ante variation of forecasts can be used to improve the predictive accuracy of the combined forecast. Forecast survey data from the Euro area and the U.S. confirm the implications of the theoretical model.
- Sprache
-
Englisch
- Erschienen in
-
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Time Series ; No. D17-V1
- Klassifikation
-
Wirtschaft
Model Construction and Estimation
Forecasting Models; Simulation Methods
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Conrad, Christian
- Ereignis
-
Veröffentlichung
- (wer)
-
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
- (wo)
-
Kiel, Hamburg
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 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
- Konferenzbeitrag
Beteiligte
- Conrad, Christian
- ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
Entstanden
- 2017
Ähnliche Objekte (12)
Forecast-error-based estimation of forecast uncertainty when the horizon is increased
Combined forecasts and forecast breakdown preselection
A Critical Note on the Forecast Error Variance Decomposition
SVARs identification through bounds on the forecast error variance
A critical note on the forecast error variance decomposition
Determinants of earnings forecast error, earnings forecast revision and earnings forecast accuracy
Identifying Proxy VARs with Restrictions on the Forecast Error Variance
Forecast combinations
Adjusting for information content when comparing forecast performance
Does Forecast Combination Improve Norges Bank Inflation Forecasts?
Attribution of hydrologic forecast uncertainty within scalable forecast windows
The editor's forecast
Forecast-error-based estimation of forecast uncertainty when the horizon is increased
Combined forecasts and forecast breakdown preselection
A Critical Note on the Forecast Error Variance Decomposition
SVARs identification through bounds on the forecast error variance
A critical note on the forecast error variance decomposition
Determinants of earnings forecast error, earnings forecast revision and earnings forecast accuracy
Identifying Proxy VARs with Restrictions on the Forecast Error Variance
Forecast combinations
Adjusting for information content when comparing forecast performance
Does Forecast Combination Improve Norges Bank Inflation Forecasts?
Attribution of hydrologic forecast uncertainty within scalable forecast windows
The editor's forecast
Forecast-error-based estimation of forecast uncertainty when the horizon is increased
Combined forecasts and forecast breakdown preselection
A Critical Note on the Forecast Error Variance Decomposition
SVARs identification through bounds on the forecast error variance
A critical note on the forecast error variance decomposition
Determinants of earnings forecast error, earnings forecast revision and earnings forecast accuracy
Identifying Proxy VARs with Restrictions on the Forecast Error Variance
Forecast combinations
Adjusting for information content when comparing forecast performance
Does Forecast Combination Improve Norges Bank Inflation Forecasts?
Attribution of hydrologic forecast uncertainty within scalable forecast windows