Accessibility navigation


Combining probability forecasts

Clements, M. P. ORCID: https://orcid.org/0000-0001-6329-1341 and Harvey, D. I. (2011) Combining probability forecasts. International Journal of Forecasting, 27 (2). pp. 208-223. ISSN 0169-2070

Full text not archived in this repository.

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.1016/j.ijforecast.2009.12.016

Abstract/Summary

We consider different methods for combining probability forecasts. In empirical exercises, the data generating process of the forecasts and the event being forecast is not known, and therefore the optimal form of combination will also be unknown. We consider the properties of various combination schemes for a number of plausible data generating processes, and indicate which types of combinations are likely to be useful. We also show that whether forecast encompassing is found to hold between two rival sets of forecasts or not may depend on the type of combination adopted. The relative performances of the different combination methods are illustrated, with an application to predicting recession probabilities using leading indicators.

Item Type:Article
Refereed:Yes
Divisions:No Reading authors. Back catalogue items
Henley Business School > ICMA Centre
ID Code:35268
Uncontrolled Keywords:Probability forecasts; Forecast combinations; Recession probabilities
Publisher:Elsevier

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation