Arbeitspapier
Forecasting Swiss exports using Bayesian forecast reconciliation
This paper conducts an extensive forecasting study on 13,118 time series measuring Swiss goods exports, grouped hierarchically by export destination and product category. We apply existing state of the art methods in forecast reconciliation and introduce a novel Bayesian reconciliation framework. This approach allows for explicit estimation of reconciliation biases, leading to several innovations: Prior judgment can be used to assign weights to specific forecasts and the occurrence of negative reconciled forecasts can be ruled out. Overall we find strong evidence that in addition to producing coherent forecasts, reconciliation also leads to improvements in forecast accuracy.
- Language
-
Englisch
- Bibliographic citation
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Series: KOF Working Papers ; No. 457
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
General Aggregative Models: Forecasting and Simulation: Models and Applications
- Subject
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Hierarchical Forecasting
Bayesian Forecast Reconciliation
Swiss Exports
Optimal Forecast Combination
- Event
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Geistige Schöpfung
- (who)
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Eckert, Florian
Hyndman, Rob J.
Panagiotelis, Anastasios
- Event
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Veröffentlichung
- (who)
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ETH Zurich, KOF Swiss Economic Institute
- (where)
-
Zurich
- (when)
-
2019
- DOI
-
doi:10.3929/ethz-b-000354388
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Eckert, Florian
- Hyndman, Rob J.
- Panagiotelis, Anastasios
- ETH Zurich, KOF Swiss Economic Institute
Time of origin
- 2019
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