Combining Survey Forecasts and Time Series Models: The Case of the Euribor
Heidelberg Institute for Theoretical Studies (HITS) gGmbH
University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
July 16, 2010
This paper reinterprets Maganelli's (2009) idea of "Forecasting with Judgment" to obtain a dynamic algorithm for combining survey data and time series models for macroeconomic forecasting. Unlike existing combination approaches which typically assign weights to alternative forecasts, the algorithm uses survey forecasts in estimating the parameter vector of a time series model. The methodology is applied to mid-term forecasts of the three-month Euribor.
Number of Pages in PDF File: 26
Keywords: Tendency Survey, Forecast Combination
JEL Classification: C21, C51, C53
Date posted: August 9, 2010
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