Publications [#376501] of Robert L. Winkler
Papers Published
- Clemen, RT; Winkler, RL. "Combining economic forecasts." Journal of Business and Economic Statistics 4.1 (January, 1986): 39-46. [doi]
(last updated on 2024/08/25)Abstract:
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. © 1986 American Statistical Association.