Combining Survey Forecasts and Time Series Models: The Case of the Euribor
-
Fabian Krüger
,
Winfried Pohlmeier
Summary
This paper reinterprets Maganelli’s (2009) idea of “Forecasting with Judgment” to obtain a dynamic algorithm for combining survey expectations data and time series models for macroeconomic forecasting. Existing combination approaches typically obtain combined forecasts by linearly weighting individual forecasts. The approach presented here instead uses survey forecasts in the estimation stage of a time series model. Thus an estimate of the model parameters is obtained that reflects two sources of information: a history of realizations of the variables that are involved in the time series model and survey expectations on the future course of the variable that is to be forecast. The idea at the estimation stage is to shrink parameter estimates towards values that are compatible (in an appropriate sense) with the survey forecasts that have been observed. It is exemplified how this approach can be applied to different autoregressive time series models. In an empirical application, the approach is used to forecast the three-month Euribor at a six-month horizon.
© 2011 by Lucius & Lucius, Stuttgart
Artikel in diesem Heft
- Titelei
- Inhalt / Contents
- Special Issue on Economic Forecasts: Guest Editorial
- Abhandlungen / Original Papers
- Information or Institution?
- Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP
- A Factor Model for Euro-area Short-term Inflation Analysis
- Combining Survey Forecasts and Time Series Models: The Case of the Euribor
- Predictive Ability of Business Cycle Indicators under Test
- Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights
- Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
- Practice and Prospects of Medium-term Economic Forecasting
- Buchbesprechungen / Book Reviews
Artikel in diesem Heft
- Titelei
- Inhalt / Contents
- Special Issue on Economic Forecasts: Guest Editorial
- Abhandlungen / Original Papers
- Information or Institution?
- Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP
- A Factor Model for Euro-area Short-term Inflation Analysis
- Combining Survey Forecasts and Time Series Models: The Case of the Euribor
- Predictive Ability of Business Cycle Indicators under Test
- Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights
- Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
- Practice and Prospects of Medium-term Economic Forecasting
- Buchbesprechungen / Book Reviews
