Forecast Uncertainty, Disagreement, and Linear Pools of Density Forecasts

In many empirical applications, a combined density forecast is constructed using the linear pool which aggregates several individual density forecasts. We analyze the linear pool in a mean/variance prediction space setup. Our theoretical results indicate that a well-known 'disagreement' term can be detrimental to the linear pool's assessment of forecast uncertainty. We demonstrate this argument in macroeconomic and financial forecasting case studies.

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Year of publication:	2017
Authors:	Knüppel, Malte ; Krüger, Fabian
Publisher:	Kiel, Hamburg : ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft

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Series:	Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Forecasting ; E17-V2
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Conference Paper
Language:	English
Other identifiers:	hdl:10419/168294 [Handle] RePEc:zbw:vfsc17:168294 [RePEc]
Classification:	C53 - Forecasting and Other Model Applications
Source:	EconStor

Persistent link: https://www.econbiz.de/10011712807