Predicting Turning Points Through the Integration of Multiple Models |
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Authors: | David T Li Jeffrey H Dorfman |
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Institution: | Departments of Economics and Agricultural and Applied Economics , University of Georgia , Athens , GA , 30602 |
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Abstract: | A new method for forming composite turning-point (or other qualitative) forecasts is proposed. Rather than forming composite forecasts by the standard Bayesian approach with weights proportional to each model's posterior odds, weights are assigned to the individual models in proportion to the probability of each model's having the correct turning-point prediction. These probabilities are generated by logit models estimated with data on the models' past turning-point forecasts. An empirical application to gross national product/gross domestic product forecasting of 18 Organization for Economic Cooperation and Development countries demonstrates the potential benefits of the procedure |
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Keywords: | Bayesian approach Composite forecast Qualitative forecast |
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