Combination of biased forecasts: Bias correction or bias based weights?

Most of the literature on combination of forecasts deals with the assumption of unbiased individual forecasts. Here, we consider the case of biased forecasts and discuss two different combination techniques resulting in an unbiased forecast. On the one hand we correct the individual forecasts, and on the other we calculate bias based weights. A simulation study gives some insight in the situations where we should use the different methods.

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Year of publication:	1999
Authors:	Wenzel, Thomas
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Prognoseverfahren \| Bias \| Theorie \| combination of forecasts \| bias correction \| regression \| generalized Jackknife \| multivariate forecasts

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Series:	Technical Report ; 1999,50
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	767134427 [GVK] hdl:10419/77312 [Handle] RePEc:zbw:sfb475:199950 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316655