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

26 Pages Posted: 9 Aug 2010  

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)

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

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

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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