Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/168294
Authors: 
Knüppel, Malte
Krüger, Fabian
Year of Publication: 
2017
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Forecasting E17-V2
Abstract: 
In many empirical applications, a combined density forecast is constructed using the linear pool which aggregates several individual density forecasts. We analyze the linear pool in a mean/variance prediction space setup. Our theoretical results indicate that a well-known 'disagreement' term can be detrimental to the linear pool's assessment of forecast uncertainty. We demonstrate this argument in macroeconomic and financial forecasting case studies.
JEL: 
C53
Document Type: 
Conference Paper

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