Combining forecasts – forty years later

References

• Barnard , GA . 1963 . New methods of quality control . Journal of the Royal Statistical Society A , 126 : 255 – 8 .
   Google Scholar
• Bates , JM and Granger , CWJ . 1969 . The combination of forecasts . Operational Research Quarterly , 20 : 451 – 68 .
   Google Scholar
• Berkowitz , J . 2001 . Testing density forecasts, with applications to risk management . Journal of Business and Economic Statistics , 19 : 465 – 74 .
   Web of Science ®Google Scholar
• Bjornland, H., Gerdrup, K., Jore, A. S., Smith, C. and Thorsrud, L. A. (2009) There is more than one weight to skin a cat: combining densities at Norges Bank, in Conference on Forecasting and Monetary Policy, Deutsche Bundesbank, Berlin, March 2009.
   Google Scholar
• Boero , G , Smith , J and Wallis , KF . 2008 . Uncertainty and disagreement in economic prediction: The Bank of England Survey of External Forecasters . Economic Journal , 118 : 1107 – 27 .
   Web of Science ®Google Scholar
• Box , GEP and Jenkins , GM . 1970 . Time Series Analysis: Forecasting and Control , San Francisco : Holden-Day .
   Google Scholar
• Clemen , RT . 1989 . Combining forecasts: a review and annotated bibliography . International Journal of Forecasting , 5 : 559 – 83 .
   Web of Science ®Google Scholar
• Crowe , C . 2010 . Consensus forecasts and inefficient information aggregation Working Paper No. 10/178, International Monetary Fund, Washington, DC
   Google Scholar
• Faria , AE and Mubwandarikwa , E . 2008 . The geometric combination of Bayesian forecasting models . Journal of Forecasting , 27 : 519 – 35 .
   Google Scholar
• Faria , AE and Smith , JQ . 1997 . Conditionally externally Bayesian pooling operators in chain graphs . Annals of Statistics , 25 : 1740 – 61 .
   Google Scholar
• Genest , C and Zidek , JV . 1986 . Combining probability distributions: a critique and an annotated bibliography (with discussion) . Statistical Science , 1 : 114 – 48 .
   Google Scholar
• Geweke , J and Amisano , G . 2009 . Optimal prediction pools Working Paper No. 1017, European Central Bank, Frankfurt
   Google Scholar
• Granger , CWJ . 1969 . Prediction with a generalized cost of error function . Operational Research Quarterly , 20 : 199 – 207 .
   Google Scholar
• Granger , CWJ . 1989 . Combining forecasts – twenty years later . Journal of Forecasting , 8 : 167 – 73 .
   Web of Science ®Google Scholar
• Hall , SG and Mitchell , J . 2007 . Combining density forecasts . International Journal of Forecasting , 23 : 1 – 13 .
   Web of Science ®Google Scholar
• Hora , SC . 2004 . Probability judgements for continuous quantities: linear combinations and calibration . Management Science , 50 : 597 – 604 .
   Web of Science ®Google Scholar
• Jore , AS , Mitchell , J and Vahey , SP . 2010 . Combining forecast densities from VARs with uncertain instabilities . Journal of Applied Econometrics , 25 : 621 – 34 .
   Web of Science ®Google Scholar
• Kascha , C and Ravazzolo , F . 2010 . Combining inflation density forecasts . Journal of Forecasting , 29 : 231 – 50 .
   Web of Science ®Google Scholar
• Kim , O , Lim , SC and Shaw , KW . 2001 . The inefficiency of the mean analyst forecast as a summary forecast of earnings . Journal of Accounting Research , 39 : 329 – 36 .
   Web of Science ®Google Scholar
• Mitchell , J and Hall , SG . 2005 . Evaluating, comparing and combining density forecasts using the KLIC with an application to the Bank of England and NIESR ‘fan’ charts of inflation . Oxford Bulletin of Economics and Statistics , 67 : 995 – 1033 .
   Web of Science ®Google Scholar
• Mitchell, J. and Wallis, K. F. (2010) Evaluating density forecasts: forecast combinations, model mixtures, calibration and sharpness, Journal of Applied Econometrics, in press.
   Google Scholar
• Morris , S and Shin , HS . 2002 . Social value of public information . American Economic Review , 92 : 1521 – 34 .
   Web of Science ®Google Scholar
• Pearson , K . 1894 . Contributions to the mathematical theory of evolution . Philosophical Transactions of the Royal Society of London A , 185 : 71 – 110 .
   Google Scholar
• Ranjan , R and Gneiting , T . 2010 . Combining probability forecasts . Journal of the Royal Statistical Society B , 72 : 71 – 91 .
   Google Scholar
• Rich , R and Tracy , J . 2010 . The relationships among expected inflation, disagreement, and uncertainty: evidence from matched point and density forecasts . Review of Economics and Statistics , 92 : 200 – 7 .
   Web of Science ®Google Scholar
• Smith , J and Wallis , KF . 2009 . A simple explanation of the forecast combination puzzle . Oxford Bulletin of Economics and Statistics , 71 : 331 – 55 .
   Web of Science ®Google Scholar
• Wallis , KF . 2005 . Combining interval and density forecasts: a modest proposal . Oxford Bulletin of Economics and Statistics , 67 : 983 – 94 .
   Web of Science ®Google Scholar
• Winkler , RL . 1968 . The consensus of subjective probability distributions . Management Science , 15 : B61 – 75 .
   Web of Science ®Google Scholar
• Zarnowitz , V . 1969 . The new ASA-NBER survey of forecasts by economic statisticians . American Statistician , 23 : 12 – 16 .
   Web of Science ®Google Scholar