Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/153711 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
ECB Working Paper No. 1277
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
In this paper, we explore the potential gains from alternative combinations of the surveyed forecasts in the ECB Survey of Professional Forecasters. Our analysis encompasses a variety of methods including statistical combinations based on principal components analysis and trimmed means, performance-based weighting, least squares estimates of optimal weights as well as Bayesian shrinkage. We provide a pseudo real-time out-of-sample performance evaluation of these alternative combinations and check the sensitivity of the results to possible data-snooping bias. The latter robustness check is also informed using a novel real time meta selection procedure which is not subject to the data-snooping critique. For GDP growth and the unemployment rate, only few of the forecast combination schemes are able to outperform the simple equal-weighted average forecast. Conversely, for the inflation rate there is stronger evidence that more refined combinations can lead to improvement over this benchmark. In particular, for this variable, the relative improvement appears significant even controlling for data snooping bias.
Schlagwörter: 
data snooping
forecast combination
forecast evaluation
real-time data
Survey of Professional Forecasters
JEL: 
C22
C53
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.43 MB





Publikationen in EconStor sind urheberrechtlich geschützt.