Combining Density and Interval Forecasts: A Modest Proposal

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. Copyright 2005 Blackwell Publishing Ltd.

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Year of publication:	2005
Authors:	Wallis, Kenneth F.
Published in:	Oxford Bulletin of Economics and Statistics. - Department of Economics, ISSN 0305-9049. - Vol. 67.2005, s1, p. 983-994
Publisher:	Department of Economics

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005315898