Combining Survey Forecasts and Time Series Models: The Case of the Euribor
26 Pages
Posted: 9 Aug 2010
Heidelberg Institute for Theoretical Studies (HITS) gGmbH
Deutsche Bundesbank
University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Date Written: 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.
Keywords: Tendency Survey, Forecast Combination
JEL Classification: C21, C51, C53
Suggested Citation:
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: https://ssrn.com/abstract=1655752 or http://dx.doi.org/10.2139/ssrn.1655752
