Journal of the Operational Research Society

, Volume 39, Issue 11, pp 1005–1010

Combining Economic Forecasts

  • K. Holden
  • D. A. Peel
Case-Oriented Paper

DOI: 10.1057/jors.1988.170

Cite this article as:
Holden, K. & Peel, D. J Oper Res Soc (1988) 39: 1005. doi:10.1057/jors.1988.170

Abstract

It is well known that no particular forecasting agency dominates when the accuracy of economic forecasts of the UK is investigated. There are good reasons for believing that if forecasts differ, some combination of them will be an improvement over the individual forecasts. The problem is to determine what weights to attach to each forecast. Various methods have been suggested in the literature, including equal weights (averaging), optimal weights (linear regression), varying weights based on past performance, and the Bayesian approach. We review these methods and examine their performance for important macro-economic variables.

Keywords

economicsforecastingtime series

Copyright information

© Operational Research Society 1988

Authors and Affiliations

  • K. Holden
    • 1
  • D. A. Peel
    • 2
  1. 1.Department of Economics, University of Liverpool
  2. 2.Department of Economics, University CollegeAberystwyth