Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83750
Authors: 
Aiolfi, Marco
Capistrán, Carlos
Timmermann, Allan
Year of Publication: 
2010
Series/Report no.: 
Working Papers, Banco de México 2010-04
Abstract: 
We consider combinations of subjective survey forecasts and model-based forecasts from linear and non-linear univariate specifications as well as multivariate factor-augmented models. Empirical results suggest that a simple equal-weighted average of survey forecasts outperform the best model-based forecasts for a majority of macroeconomic variables and forecast horizons. Additional improvements can in some cases be gained by using a simple equal-weighted average of survey and model-based forecasts. We also provide an analysis of the importance of model instability for explaining gains from forecast combination. Analytical and simulation results uncover break scenarios where forecast combinations outperform the best individual forecasting model.
Subjects: 
Factor Based Forecasts
Non-linear Forecasts
Structural Breaks
Survey Forecasts
Univariate Forecasts
JEL: 
C53
E
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.