Forecast Combination With Entry and Exit of Experts

Carlos Capistrán · Allan Timmermann

123 citations0/0 files storedJournal of Business and Economic Statistics

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Forecasting Techniques and Applications Spatial and Panel Data Analysis Statistical and numerical algorithms

Abstract

Combination of forecasts from survey data is complicated by the frequent entry and exit of individual forecasters which renders conventional least squares regression approaches infeasible. We explore the consequences of this issue for existing combination methods and propose new methods for bias-adjusting the equal-weighted forecast or applying combinations on an extended panel constructed by back-filling missing observations using an EM algorithm. Through simulations and an application to a range of macroeconomic variables we show that the entry and exit of forecasters can have a large effect on the real-time performance of conventional combination methods. The bias-adjusted combination method is found to work well in practice.

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References

1994Comparing Predictive Accuracy 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*1989Combining forecasts: A review and annotated bibliography 2000The M3-Competition: results, conclusions and implications 2006Tests of Conditional Predictive Ability 2003Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts 1990Combining forecasts: A review and annotated bibliography 1984Improved methods of combining forecasts

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