Survey-based forecast distributions for Euro Area growth and inflation: ensembles versus histograms
Ensemble methods can be used to construct a forecast distribution from a collection of point forecasts. They are used extensively in meteorology, but have received little direct attention in economics. In a real-time analysis of the ECB’s Survey of Professional Forecasters, we compare ensemble metho...
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| Main Author: | |
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| Format: | Article (Journal) |
| Language: | English |
| Published: |
17 January 2017
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| In: |
Empirical economics
Year: 2017, Volume: 53, Issue: 1, Pages: 235-246 |
| ISSN: | 1435-8921 |
| DOI: | 10.1007/s00181-017-1228-3 |
| Online Access: | Verlag, kostenfrei, Volltext: http://dx.doi.org/10.1007/s00181-017-1228-3 Verlag, kostenfrei, Volltext: https://link.springer.com/article/10.1007/s00181-017-1228-3 
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| Author Notes: | Fabian Krüger |
| Summary: | Ensemble methods can be used to construct a forecast distribution from a collection of point forecasts. They are used extensively in meteorology, but have received little direct attention in economics. In a real-time analysis of the ECB’s Survey of Professional Forecasters, we compare ensemble methods to histogram-based forecast distributions of GDP growth and inflation in the Euro Area. We find that ensembles perform very similarly to histograms, while being simpler to handle in practice. Given the wide availability of surveys that collect point forecasts but not histograms, these results suggest that ensembles deserve further investigation in economics. |
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| Item Description: | Gesehen am 26.07.2018 |
| Physical Description: | Online Resource |
| ISSN: | 1435-8921 |
| DOI: | 10.1007/s00181-017-1228-3 |