A Bayesian method of combining judgmental and model-based density forecasts

C-Tier
Journal: Economic Modeling
Year: 2012
Volume: 29
Issue: 4
Pages: 1349-1355

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper introduces a formal method of combining expert and model density forecasts when the sample of past forecasts is unavailable. It works directly with the expert forecast density and endogenously delivers weights for forecast combination, relying on probability rules only. The empirical part of the paper illustrates how the framework can be applied in forecasting US inflation by mixing density forecasts from an autoregressive model and the Survey of Professional Forecasters.

Technical Details

RePEc Handle
repec:eee:ecmode:v:29:y:2012:i:4:p:1349-1355
Journal Field
General
Author Count
3
Added to Database
2026-01-25