Combining Density and Interval Forecasts: A Modest Proposal
12 Pages Posted: 3 Feb 2006
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: Suggested Citation