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Combining Density and Interval Forecasts: A Modest Proposal

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  • Kenneth F. Wallis

Abstract

The finite mixture distribution is proposed as an appropriate statistical model for a combined density forecast. Its implications for measures of uncertainty and disagreement, and for combining interval forecasts, are described. Related proposals in the literature and applications to the U.S. Survey of Professional Forecasters are discussed.

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  • Kenneth F. Wallis, 2005. "Combining Density and Interval Forecasts: A Modest Proposal," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 983-994, December.
    • Handle: RePEc:bla:obuest:v:67:y:2005:i:s1:p:983-994
    DOI: 10.1111/j.1468-0084.2005.00148.x
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