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Pooling of Forecasts.

Abstract:

We consider forecasting using a combination, when no model coincides with a non-constant data generation process (DGP). Practical experience suggests that combining forecasts adds value, and can even dominate the best individual device. We show why this can occur when forecasting models are differentially mis-specified, and is likely to occur when the DGP is subject to deterministic shifts. Moreover, averaging may then dominate over estimated weights in the combination. Finally, it cannot be ...

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Volume:
W9
Series:
Economics Working Papers
Publication date:
2002-01-01
URN:
uuid:190a20ea-601d-47a0-9f37-5db1c64106af
Local pid:
oai:economics.ouls.ox.ac.uk:11914
Language:
English

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