The problem of finding appropriate weights to combine several density forecasts is an important issue that is currently being debated in the forecast combination literature. A recent paper by Hall and Mitchell (IJF, 2007) proposes to combine density forecasts with the weights obtained from...

AbstractForecast combination—the aggregation of individual forecasts from multiple experts or models—is a proven approach to economic forecasting. To date, research on economic forecasting has concentrated on local combination methods, which handle separate but related forecasting tasks in...

This paper studies the sensitivity of random effects estimators in the one-way error component regression model. Maddala and Mount (1973) give the simulation evidence that in random effects models the properties of the feasible GLS estimator β are not affected by the choice of the first-step...

Expert forecast combination—the aggregation of individual forecasts from multiple subject-matter experts— is a proven approach to economic forecasting. To date, research in this area has exclusively concentrated on local combination methods, which handle separate but related forecasting...

This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead out-of-sample monthly forecast utilising the well-established coincident...

This paper provides a methodology for combining forecasts based on several discrete choice models. This is achieved primarily by combining one-step-ahead probability forecast associated with each model. The paper applies well-established scoring rules for qualitative response models in the...

In Bayesian theory, the data together with the prior produce a posterior. We show that it is also possible to follow the opposite route, that is, to use data and posterior information (both of which are observable) to reveal the prior (which is not observable). We then apply the theory to...