Unbiasedness,efficiency and the combination of economic forecasts

This paper considers the problem of determining whether forecasts are unbiased and examines the implications this has for combining different forecasts. The practical issues of how economic forecasts might be combined are discussed. There is an empirical illustration of the procedures in which the properties of UK forecasts from the London Business School, the National Institute, the Henley Centre for Forecasting, Phillips and Drew and the OECD are examined.     

The combining of forecasts using recursive techniques with non-stationary weights

This paper evaluates six optimal and four ad hoc recursive combination methods on five actual data sets. The performance of all methods is compared to the mean and recursive least squares. A modification to one method is proposed and evaluated. The recursive methods were found to be very effective from start-up on two of the data sets. Where the optimal methods worked well so did the ad hoc ones, suggesting that often combination methods allowing ‘local bias’ adjustment may be preferable to the mean forecast and comparable to the optimal methods.     

Optimal forecast intervals under asymmetric loss

An optimality criterion for forecast intervals under asymmetric loss functions is proposed. A loss optimal forecast interval is obtained by requiring that the expected loss, conditional on a future realization within the desired interval, be minimal. The main difficulty in the context of forecasting under asymmetric loss emerges when there is no knowledge about the distribution of the innovations. For solving this problem, an extension of estimation under the relevant loss function is suggested. In many cases, one also needs to account for the additional variability due to estimation of model parameters. Another solution, based on the bootstrap, works for both problems. Copyright © 2007 John Wiley & Sons, Ltd.     

基于多模式预报优选融合技术的短时定量降水预报

为提升短时定量降水预报准确率,使其更好地支撑城市暴雨洪涝及中小河流洪水预报,基于多源数值天气模式预报值,构建了基于预报成员优选融合的短时(0~12h)逐小时定量降水预报模型,模型由单模式百分位映射订正技术模块、模式订正预报成员实时优选技术模块、预报成员实时融合技术模块和融合预报的百分位映射订正技术模块4个技术模块组成。以河南省为例对模型进行检验,结果表明:模型预报降水分布和强度随着预报时效临近更接近实况降水;模型提前6h预报出郑州“7·20”暴雨最强时段降水的落区和强度;在2021年1—9月降水预报对比检验中,模型预报准确率高于任意单模式订正预报和原始模式预报,且准确率随着预报时效的临近逐步提高。     

Measuring the market risk of freight rates: A forecast combination approach

This paper addresses the issue of freight rate risk measurement via value at risk (VaR) and forecast combination methodologies while focusing on detailed performance evaluation. We contribute to the literature in three ways: First, we reevaluate the performance of popular VaR estimation methods on freight rates amid the adverse economic consequences of the recent financial and sovereign debt crisis. Second, we provide a detailed and extensive backtesting and evaluation methodology. Last, we propose a forecast combination approach for estimating VaR. Our findings suggest that our combination methods produce more accurate estimates for all the sectors under scrutiny, while in some cases they may be viewed as conservative since they tend to overestimate nominal VaR.     

Do US Macroeconomic Forecasters Exaggerate their Differences?

Application of the Bernhardt et al. (Journal of Financial Economics 2006; 80 (3): 657–675) test of herding to the calendar‐year annual output growth and inflation forecasts suggests forecasters tend to exaggerate their differences, except at the shortest horizon, when they tend to herd. We consider whether these types of behaviour can help to explain the puzzle that professional forecasters sometimes make point predictions and histogram forecasts which are mutually inconsistent. Copyright © 2015 John Wiley & Sons, Ltd.     

Sports forecasting: a comparison of the forecast accuracy of prediction markets,betting odds and tipsters

This article compares the forecast accuracy of different methods, namely prediction markets, tipsters and betting odds, and assesses the ability of prediction markets and tipsters to generate profits systematically in a betting market. We present the results of an empirical study that uses data from 678–837 games of three seasons of the German premier soccer league. Prediction markets and betting odds perform equally well in terms of forecasting accuracy, but both methods strongly outperform tipsters. A weighting‐based combination of the forecasts of these methods leads to a slightly higher forecast accuracy, whereas a rule‐based combination improves forecast accuracy substantially. However, none of the forecasts leads to systematic monetary gains in betting markets because of the high fees (25%) charged by the state‐owned bookmaker in Germany. Lower fees (e.g., approximately 12% or 0%) would provide systematic profits if punters exploited the information from prediction markets and bet only on a selected number of games. Copyright © 2008 John Wiley & Sons, Ltd.