Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/204793 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
KOF Working Papers No. 457
Verlag: 
ETH Zurich, KOF Swiss Economic Institute, Zurich
Zusammenfassung: 
This paper conducts an extensive forecasting study on 13,118 time series measuring Swiss goods exports, grouped hierarchically by export destination and product category. We apply existing state of the art methods in forecast reconciliation and introduce a novel Bayesian reconciliation framework. This approach allows for explicit estimation of reconciliation biases, leading to several innovations: Prior judgment can be used to assign weights to specific forecasts and the occurrence of negative reconciled forecasts can be ruled out. Overall we find strong evidence that in addition to producing coherent forecasts, reconciliation also leads to improvements in forecast accuracy.
Schlagwörter: 
Hierarchical Forecasting
Bayesian Forecast Reconciliation
Swiss Exports
Optimal Forecast Combination
JEL: 
C32
C53
E17
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.24 MB





Publikationen in EconStor sind urheberrechtlich geschützt.