Combining professional and survey forecasts for macroeconomic data

Antoine Soetewey

ISBN 10: 3659660809 / ISBN 13: 9783659660801

Published by LAP LAMBERT Academic Publishing, 2016

About this Item

68 pages. 8.66x5.91x0.16 inches. In Stock.

Seller Inventory # __3659660809

Bibliographic Details

• Title: Combining professional and survey forecasts for macroeconomic data
• Publisher: LAP LAMBERT Academic Publishing
• Publication Date: 2016
• Language: English
• ISBN 10: 3659660809
• ISBN 13: 9783659660801
• Binding: Paperback
• Condition: Brand New
• Weight: 0.15 kilograms

About this title

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.

About the Author

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.