Abstract

http://ssrn.com/abstract=1655752
 
 

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Combining Survey Forecasts and Time Series Models: The Case of the Euribor


Fabian Krueger


Heidelberg Institute for Theoretical Studies (HITS) gGmbH

Frieder Mokinski


Deutsche Bundesbank

Winfried Pohlmeier


University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)

July 16, 2010


Abstract:     
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


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Date posted: August 9, 2010  

Suggested Citation

Krueger, Fabian and Mokinski, Frieder and Pohlmeier, Winfried, Combining Survey Forecasts and Time Series Models: The Case of the Euribor (July 16, 2010). Available at SSRN: http://ssrn.com/abstract=1655752 or http://dx.doi.org/10.2139/ssrn.1655752

Contact Information

Fabian Krueger (Contact Author)
Heidelberg Institute for Theoretical Studies (HITS) gGmbH ( email )
Schloss-Wolfsbrunnenweg 35
Heidelberg, D-69118
Germany
Frieder Mokinski
Deutsche Bundesbank ( email )
Wilhelm-Epstein-Str. 14
D-60431 Frankfurt/Main
Germany
Winfried Pohlmeier
University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE) ( email )
Konstanz, D-78457
Germany
HOME PAGE: http://econometrics.wiwi.uni-konstanz.de
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