You are not permitted to access the full text of articles.
If you have any questions about permissions,
please contact the Society.
νμλμ λ Όλ¬Έ μ΄μ© κΆνμ΄ μμ΅λλ€.
κΆν κ΄λ ¨ λ¬Έμλ ννλ‘ λΆν λλ¦½λλ€.
|[ Article ]|
|Seoul Journal of Economics - Vol. 34, No. 1, pp.99-125|
|ISSN: 1225-0279 (Print)|
|Print publication date 28 Feb 2021|
|Received 09 Sep 2020 Revised 17 Jan 2021 Accepted 25 Jan 2021|
|Crowdsourcing of Economic Forecast: Combination of Combinations of Individual Forecasts Using Bayesian Model Averaging|
Tae-hwan Rhee ; Keunkwan Ryu
|Tae-hwan Rhee, Corresponding Author, Associate Professor, Department of Economics, Sejong University, 209 Neungdong-ro, Gwangjin-gu, Seoul 05006, Korea, Tel: +82-2-6935-2474 (email@example.com)|
|Keunkwan Ryu, Professor, Department of Economics, Seoul National University, 1 Gwanak-ro, Gwanak-gu, Seoul 08826, Korea (firstname.lastname@example.org)|
JEL Classification: C53, E37
Economic forecasts are essential in our daily lives. Accordingly, we ask the following questions: (1) Can we have an improved prediction when we additionally combine combinations of forecasts made by various institutions? (2) If we can, then what method of additional combination will be preferred? We non-linearly combine multiple linear combinations of existing forecasts to form a new forecast (“combination of combinations”), and the weights are given by Bayesian model averaging. In the case of forecasting South Korea’s real GDP growth rate, this new forecast dominates any single forecast in terms of root-mean-square prediction errors. When compared with simple linear combinations of forecasts, our method works as a “hedge” against prediction risks, avoiding the worst combination while maintaining prediction errors similar to those of the best combinations.
|Keywords: Combination of combinations, Combination of forecasts, Bayesian model averaging
|1.||Fragoso, T., W. Bertoli and F. Louzada. “Bayesian Model Averaging: A Systematic Review and Conceptual Classification.” International Statistical Review 86 (No.1 2018): 1-28.
|2.||Granger, C. and R. Ramanathan. “Improved Methods of Combining Forecasts.” Journal of Forecasting 3 (No.2 1984): 197-204.
|3.||Hansen, B. “Least Squares Model Averaging.” Econometrica 75 (No.4 2007): 1175-1189.
|4.||Leamer, E. Specification Searches: Ad Hoc Inference with Nonexperimental Data. New York: John Wiley & Sons, 1978.|
|5.||Leamer, E. “Let’s Take the Con Out of Econometrics.” The American Economic Review 73 (No.1 1983): 31-43.|
|6.||Liang, K. and K. Ryu. “Selecting the Form of Combining Regressions Based on Recursive Prediction Criteria.” In J. Lee, W. Johnson, and A. Zellner (Eds.). Modelling and Prediction Honoring Seymour Geisser: 122-135. New York: Springer, 1996.
|7.||Liang, K. and K. Ryu. “Relationship of Forecast Encompassing to Composite Forecasts with Simulations and an Application.” Seoul Journal of Economics 16 (No.3 2003): 363-386.|
|8.||Sala-i-Martin, X., G. Doppelhofer and R. I. Miller. “Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach.” The American Economic Review 94 (No.4 2004): 813-835.
|9.||Zellner, A. An Introduction to Bayesian Inference in Econometrics. New York: John Wiley & Sons, 1971.|
|10.||Zellner, A. “On Assessing Prior Distributions and Bayesian Regression Analysis with g-Prior Distributions.” In Prem Goel and Arnold Zellner (Eds.). Bayesian Inference and Decision Techniques: Essays in Honor of Bruno de Finetti. Studies in Bayesian Econometrics and Statistics Series, Volume 6: 233-243. Amsterdam: North-Holland, 1986.|
Editorial Office, Seoul Journal of Economics, Institute of Economic Research, Seoul National University 599 Gwanangno, Gwanak-gu, Seoul 151-746, Korea
Tel: +82-2-880-5434 | Fax: +82-2-888-4454 | E-mail: email@example.com
Copyright (c) 2020 SJE. All rights reserved.