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Combining professional and survey forecasts for macroeconomic data - Couverture souple

Soetewey, Antoine

 
9783659660801: Combining professional and survey forecasts for macroeconomic data
Couverture souple
ISBN 10 : 3659660809 ISBN 13 : 9783659660801
Editeur : LAP LAMBERT Academic Publishing, 2016

Synopsis

This thesis investigates the combination of survey forecasts and uses data on US GDP growth to determine whether we can benefit from combining forecasts. Two main findings arise from the analysis. First, the results show that the sole combination of survey forecasts outperforms the combination of survey forecasts with more conventional time series models forecasts. Second, we find that combining the Survey of Professional Forecasters and the Greenbook survey forecasts yields lower RMSE at all but one horizon from nowcasts to four quarters ahead predictions. In particular, we show that the Bayesian model averaging combination is preferred for nowcasts. The simple equal-weighted average combination dominates for two and three quarters ahead predictions. Lastly, the predictive least square combination is superior for four quarters ahead forecasts.

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Présentation de l'éditeur

This thesis investigates the combination of survey forecasts and uses data on US GDP growth to determine whether we can benefit from combining forecasts. Two main findings arise from the analysis. First, the results show that the sole combination of survey forecasts outperforms the combination of survey forecasts with more conventional time series models forecasts. Second, we find that combining the Survey of Professional Forecasters and the Greenbook survey forecasts yields lower RMSE at all but one horizon from nowcasts to four quarters ahead predictions. In particular, we show that the Bayesian model averaging combination is preferred for nowcasts. The simple equal-weighted average combination dominates for two and three quarters ahead predictions. Lastly, the predictive least square combination is superior for four quarters ahead forecasts.

Biographie de l'auteur

Antoine is a Data Scientist. He holds a Master's degree in Economics from the KU Leuven and a Master's degree in Econometrics from Maastricht University. His areas of interest are Data for Good, predictive analytics and econometrics.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2016
Langue
anglais
ISBN 10 
3659660809
ISBN 13 
9783659660801
Reliure
Broché
Nombre de pages
68
Coordonnées du fabricant
non disponible
Personne responsable
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