Journal of Business and Economic Statistics · 1986 · 318 citations · 16 references
Social SciencesBusiness EconomicsEconomicsEconometricsForecastingTime Series AnalysisBayesian EconometricsEconomic ForecastingForecast CombinationForecast Error AnalysisForecasting MethodsTime Series EconometricsBayesian ForecastingCombining ForecastsConditional Independence AssumptionEconometric Forecast ModelsEconometric Forecasting ModelsForecast Error Distribution ModelingIndependencePrior Distribution Specification
A method for combining forecasts may or may not account for dependence and differing precision among forecasts. In this article we test a variety of such methods in the context of combining forecasts of GNP from four major econometric models. The methods include one in which forecasting errors are jointly normally distributed and several variants of this model as well as some simpler procedures and a Bayesian approach with a prior distribution based on exchangeability of forecasters. The results indicate that a simple average, the normal model with an independence assumption, and the Bayesian model perform better than the other approaches that are studied here.
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John M. Bates, Clive W. J. Granger · Journal of the Operational Research Society · 1969 · 3.1K citations
Improved methods of combining forecasts
Clive W. J. Granger, R. Ramanathan · Journal of Forecasting · 1984 · 1.2K citations
Averages of Forecasts: Some Empirical Results
Spyros Makridakis, Robert L. Winkler · Management Science · 1983 · 626 citations
Business, Data Science, Forecasting +15