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The maximum and minimum of primary forecasts

✍ Scribed by M. Cain; D. Law; D. A. Peel

Publisher
John Wiley and Sons
Year
1992
Tongue
English
Weight
366 KB
Volume
11
Category
Article
ISSN
0277-6693

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✦ Synopsis

The purpose of this paper is to suggest that the maximum (or minimum) of a number of primary forecasts may make a valuable addition to the forecasting accuracy of a combination of forecasts. Such forecasts are readily computable. Theoretical results are presented for two unbiased forecasts with correlated normally distributed errors, showing that the maximum (minimum) of two forecasts can have a smaller error variance than either of the primary forecasts and the forecast error can have low correlation with the primary errors. Empirical results are obtained for two different sets of forecasts available in the literature, and it is observed that a combination forecast including the maximum and/or minimum has attractive forecasting properties KEY WORDS Forecast combination Maximum forecast Minimum forecast Hog data Money supply

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