Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy

Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts∗

This paper shows entropic tilting to be a flexible and powerful tool for combining mediumterm forecasts from BVARs with short-term forecasts from other sources (nowcasts from either surveys or other models). Tilting systematically improves the accuracy of both point and density forecasts, and tilting the BVAR forecasts based on nowcast means and variances yields slightly greater gains in densit...

Combining Forecasts using Clustering

Given sales forecasts for a set of items along with the standard deviation associated with each forecast, we propose a new method of combining forecasts using the concepts of clustering. Clusters of items are identified based on similarity in their sales forecasts and then a common forecast (or combined forecast) is computed for each cluster of items. The objective of clustering is to minimize ...

Combining forecasts

To improve forecasting accuracy, combine forecasts derived from methods that differ substantially and draw from different sources of information. When feasible, use five or more methods. Use formal procedures to combine forecasts: An equal-weights rule offers a reasonable starting point, and a trimmed mean is desirable if you combine forecasts resulting from five or more methods. Use different ...

Combining Economic Forecasts

Combining Interval Forecasts

In combining forecasts, a simple average of the forecasts performs well, often better than more sophisticated methods. In a prescriptive spirit, we consider some other parsimonious, easy-to-use heuristics for combining interval forecasts and compare their performance with the benchmark provided by the simple average, using real-life data sets consisting of forecasts made by professionals in the...