Department of Economics and Business Economics

Combining expert forecasts: Can anything beat the simple average?

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Standard

Combining expert forecasts : Can anything beat the simple average? / Genre, V.; Kenny, G.; Meyler, A.; Timmermann, A.

In: International Journal of Forecasting, Vol. 29, No. 1, 01.01.2013, p. 108-121.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Genre, V, Kenny, G, Meyler, A & Timmermann, A 2013, 'Combining expert forecasts: Can anything beat the simple average?', International Journal of Forecasting, vol. 29, no. 1, pp. 108-121. https://doi.org/10.1016/j.ijforecast.2012.06.004

APA

Genre, V., Kenny, G., Meyler, A., & Timmermann, A. (2013). Combining expert forecasts: Can anything beat the simple average? International Journal of Forecasting, 29(1), 108-121. https://doi.org/10.1016/j.ijforecast.2012.06.004

CBE

Genre V, Kenny G, Meyler A, Timmermann A. 2013. Combining expert forecasts: Can anything beat the simple average?. International Journal of Forecasting. 29(1):108-121. https://doi.org/10.1016/j.ijforecast.2012.06.004

MLA

Genre, V. et al. "Combining expert forecasts: Can anything beat the simple average?". International Journal of Forecasting. 2013, 29(1). 108-121. https://doi.org/10.1016/j.ijforecast.2012.06.004

Vancouver

Genre V, Kenny G, Meyler A, Timmermann A. Combining expert forecasts: Can anything beat the simple average? International Journal of Forecasting. 2013 Jan 1;29(1):108-121. https://doi.org/10.1016/j.ijforecast.2012.06.004

Author

Genre, V. ; Kenny, G. ; Meyler, A. ; Timmermann, A. / Combining expert forecasts : Can anything beat the simple average?. In: International Journal of Forecasting. 2013 ; Vol. 29, No. 1. pp. 108-121.

Bibtex

@article{008a58996e754dcc925e320238a3aa74,
title = "Combining expert forecasts: Can anything beat the simple average?",
abstract = "This paper explores the gains from combining expert forecasts from the ECB Survey of Professional Forecasters (SPF). The analysis encompasses combinations based on principal components and trimmed means, performance-based weighting, and least squares estimates of optimal weights, as well as Bayesian shrinkage. For GDP growth and the unemployment rate, only few of the individual forecast combination schemes outperform the simple equally weighted average forecast in a pseudo-out-of-sample analysis, while there is stronger evidence of improvement over this benchmark for the inflation rate. Nonetheless, when we account for the effect of multiple model comparisons through White's reality check, the results caution against any assumption that the improvements identified would persist in the future.",
author = "V. Genre and G. Kenny and A. Meyler and A. Timmermann",
year = "2013",
month = jan,
day = "1",
doi = "10.1016/j.ijforecast.2012.06.004",
language = "English",
volume = "29",
pages = "108--121",
journal = "International Journal of Forecasting",
issn = "0169-2070",
publisher = "Elsevier BV",
number = "1",

}

RIS

TY - JOUR

T1 - Combining expert forecasts

T2 - Can anything beat the simple average?

AU - Genre, V.

AU - Kenny, G.

AU - Meyler, A.

AU - Timmermann, A.

PY - 2013/1/1

Y1 - 2013/1/1

N2 - This paper explores the gains from combining expert forecasts from the ECB Survey of Professional Forecasters (SPF). The analysis encompasses combinations based on principal components and trimmed means, performance-based weighting, and least squares estimates of optimal weights, as well as Bayesian shrinkage. For GDP growth and the unemployment rate, only few of the individual forecast combination schemes outperform the simple equally weighted average forecast in a pseudo-out-of-sample analysis, while there is stronger evidence of improvement over this benchmark for the inflation rate. Nonetheless, when we account for the effect of multiple model comparisons through White's reality check, the results caution against any assumption that the improvements identified would persist in the future.

AB - This paper explores the gains from combining expert forecasts from the ECB Survey of Professional Forecasters (SPF). The analysis encompasses combinations based on principal components and trimmed means, performance-based weighting, and least squares estimates of optimal weights, as well as Bayesian shrinkage. For GDP growth and the unemployment rate, only few of the individual forecast combination schemes outperform the simple equally weighted average forecast in a pseudo-out-of-sample analysis, while there is stronger evidence of improvement over this benchmark for the inflation rate. Nonetheless, when we account for the effect of multiple model comparisons through White's reality check, the results caution against any assumption that the improvements identified would persist in the future.

UR - http://www.scopus.com/inward/record.url?scp=84866478581&partnerID=8YFLogxK

U2 - 10.1016/j.ijforecast.2012.06.004

DO - 10.1016/j.ijforecast.2012.06.004

M3 - Journal article

AN - SCOPUS:84866478581

VL - 29

SP - 108

EP - 121

JO - International Journal of Forecasting

JF - International Journal of Forecasting

SN - 0169-2070

IS - 1

ER -