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Investigating Improvements in the Accuracy of Prediction Intervals for Combinations of Forecasts: A Simulation Study

Abstract:

Despite a considerable literature on the combination of forecasts, there is little guidance regarding the assessment of their uncertainty. Since combining methods do not involve a formal procedure for identifying the underlying data generating model, theoretical variance expressions are not easily derived. We compare the ability of theoretical, empirical and a new nonparametric method to predict points on the forecast error distribution. Three different approaches to combining, i.e. regressio...

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Publication date:
1999-07-05
URN:
uuid:ac67be7a-c1b0-4a3d-abc9-bac2d9e85a40
Local pid:
oai:eureka.sbs.ox.ac.uk:1736

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