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A selective procedure for combining forecasts

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  • Troschke, Sven-Oliver

Abstract

If there are various forecasts for the same random variable, it is common practice to combine these forecasts in order to obtain a better forecast. But an important question is how to perform the combination, especially if the system under investigation is subject to structural changes and consequently the best combination method is not the same all of the time. This paper presents a data driven approach, which for each point of time selects a combination technique from a given set of combination techniques. Properties and limitations of this selection procedure are investigated using simulated data from normal distributions.

Suggested Citation

  • Troschke, Sven-Oliver, 1998. "A selective procedure for combining forecasts," Technical Reports 1998,36, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:199836
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    References listed on IDEAS

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    1. Thomas D. Russell & Everett E. Adam, Jr., 1987. "An Empirical Evaluation of Alternative Forecasting Combinations," Management Science, INFORMS, vol. 33(10), pages 1267-1276, October.
    2. Klapper, Matthias, 1998. "Combining German macro economic forecasts using rank-based techniques," Technical Reports 1998,19, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Deutsch, Melinda & Granger, Clive W. J. & Terasvirta, Timo, 1994. "The combination of forecasts using changing weights," International Journal of Forecasting, Elsevier, vol. 10(1), pages 47-57, June.
    4. Spyros Makridakis & Robert L. Winkler, 1983. "Averages of Forecasts: Some Empirical Results," Management Science, INFORMS, vol. 29(9), pages 987-996, September.
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