Forecast uncertainty, disagreement, and the linear pool

Volume: 37, Issue: 1, Pages: 23 - 41
Published: Aug 11, 2021
Abstract
The linear pool is the most popular method for combining density forecasts. We analyze its implications concerning forecast uncertainty, using a new framework that focuses on the means and variances of the individual and combined forecasts. Our results show that, if the variance predictions of the individual forecasts are unbiased, the well-known “disagreement” component of the linear pool exacerbates the upward bias of its variance prediction....
Paper Details
Title
Forecast uncertainty, disagreement, and the linear pool
Published Date
Aug 11, 2021
Volume
37
Issue
1
Pages
23 - 41
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