In Bayesian theory, the data together with the prior produce a posterior. We show that it is also possible to follow the opposite route, that is, to use data and posterior information (both of which are observable) to reveal the prior (which is not observable). We then apply the theory to...

To avoid the risk of misspecification between homoscedastic and heteroscedastic models, we propose a combination method based on ordinary least-squares (OLS) and generalized least-squares (GLS) model-averaging estimators. To select optimal weights for the combination, we suggest two information...

This paper studies the sensitivity of random effects estimators in the one-way error component regression model. Maddala and Mount (1973) give the simulation evidence that in random effects models the properties of the feasible GLS estimator β are not affected by the choice of the first-step...

This paper looks at combining expert forecasts for the US macro data from Bloomberg. Contrary to Genre et al. (2013) (who analyzed the European case), the finding is that we can improve upon the simple benchmarks such as mean or median. To achieve this improvement one needs to identify a small...

This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead out-of-sample monthly forecast utilising the well-established coincident...

Expert forecast combination—the aggregation of individual forecasts from multiple subject-matter experts— is a proven approach to economic forecasting. To date, research in this area has exclusively concentrated on local combination methods, which handle separate but related forecasting...

Combinations of point forecasts from expert forecasters are known to frequently outperform individual forecasts. It is also well documented that combination by simple averaging very often has performance superior to that of more sophisticated combinations. This empirical fact is referred to as...