Show Summary Details

Page of

PRINTED FROM OXFORD HANDBOOKS ONLINE (www.oxfordhandbooks.com). © Oxford University Press, 2018. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a title in Oxford Handbooks Online for personal use (for details see Privacy Policy and Legal Notice).

date: 21 November 2019

Abstract and Keywords

This article studies two issues in forecast combination, first considering ways to combine forecasts from surveys and time series models. Second, it considers the possibility, advanced by Hendry and Clements (2004), that model instability can help explain the gains in forecasting performance resulting from combination. The article is organized as follows. Section 2 discusses the design of the universe of forecasting models used in combining forecasts from time series models and subjective survey forecasts. Section 3 undertakes an empirical analysis using forecasts from univariate and multivariate linear models, nonlinear models, and survey forecasts. Section 4 provides analytical results that shed light on the performance of forecast combinations under model instability. Section 5 presents empirical results on forecast combinations under breaks. Section 6 concludes.

Keywords: economic forecasting, economic forecasts, survey forecasts, time series models, forecasting models

Access to the complete content on Oxford Handbooks Online requires a subscription or purchase. Public users are able to search the site and view the abstracts and keywords for each book and chapter without a subscription.

Please subscribe or login to access full text content.

If you have purchased a print title that contains an access token, please see the token for information about how to register your code.

For questions on access or troubleshooting, please check our FAQs, and if you can''t find the answer there, please contact us.