Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/108738
Authors: 
Kim, Dongkoo
Rhee, Tae-hwan
Ryu, Keunkwan
Shin, Changmock
Year of Publication: 
2015
Series/Report no.: 
Ruhr Economic Papers 546
Abstract: 
Economic forecasts are quite essential in our daily lives, which is why many research institutions periodically make and publish forecasts of main economic indicators. We ask (1) whether we can consistently have a better prediction when we combine multiple forecasts of the same variable and (2) if we can, what will be the optimal method of combination. We linearly combine multiple linear combinations of existing forecasts to form a new forecast ('combination of combinations'), and the weights are given by Bayesian model averaging. In the case of forecasts on Germany's real GDP growth rate, this new forecast dominates any single forecast in terms of root-mean-square prediction errors.
Subjects: 
Combination of forecasts
Bayesian model averaging
JEL: 
E32
E37
Persistent Identifier of the first edition: 
ISBN: 
978-3-86788-624-6
Document Type: 
Working Paper

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