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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 location shifts. Moreover, averaging may then dominate over estimated weights in the combination. Finally, it cannot be prove...

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Publication status:
Published
Peer review status:
Not peer reviewed
Version:
Author's Original

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Publisher copy:
10.1111/j.1368-423X.2004.00119.x

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Institution:
University of Oxford
Michael P Clements More by this author
Publisher:
Blackwell Publishing Ltd
Journal:
Econometrics Journal Journal website
Volume:
7
Issue:
1
Publication date:
2004
DOI:
URN:
uuid:bd23b958-9c14-4374-8ef3-7334206f2619
Local pid:
oai:economics.ouls.ox.ac.uk:10455
Language:
English

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