Combining Density and Interval Forecasts: A Modest Proposal

12 Pages Posted: 3 Feb 2006

See all articles by Kenneth F. Wallis

Kenneth F. Wallis

University of Warwick - Department of Economics

Abstract

The finite mixture distribution is proposed as an appropriate statistical model for a combined density forecast. Its implications for measures of uncertainty and disagreement, and for combining interval forecasts, are described. Related proposals in the literature and applications to the U.S. Survey of Professional Forecasters are discussed.

JEL Classification: C53, E37

Suggested Citation

Wallis, Kenneth F., Combining Density and Interval Forecasts: A Modest Proposal. Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 983-994, December 2005, Available at SSRN: https://ssrn.com/abstract=869100 or http://dx.doi.org/10.1111/j.1468-0084.2005.00148.x

Kenneth F. Wallis (Contact Author)

University of Warwick - Department of Economics ( email )

Coventry CV4 7AL
United Kingdom

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