Machine learning for regularized survey forecast combination: Partially-egalitarian lasso and its derivatives

FX Diebold, M Shin - International Journal of Forecasting, 2019 - Elsevier
Despite the clear success of forecast combination in many economic environments, several
important issues remain incompletely resolved. The issues relate to the selection of the set …

Will the last be the first? Ranking German macroeconomic forecasters based on different criteria

T Köhler, J Döpke - Empirical Economics, 2023 - Springer
We rank the quality of German macroeconomic forecasts using various methods for 17
regular annual German economic forecasts from 14 different institutions for the period from …

[HTML][HTML] Flexible global forecast combinations

R Thompson, Y Qian, AL Vasnev - Omega, 2024 - Elsevier
Forecast combination–the aggregation of individual forecasts from multiple experts or
models–is a proven approach to economic forecasting. To date, research on economic …

Optimal selection of expert forecasts with integer programming

D Matsypura, R Thompson, AL Vasnev - Omega, 2018 - Elsevier
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 …

What does forecaster disagreement tell us about the state of the economy?

C Bürgi, TM Sinclair - Applied Economics Letters, 2021 - Taylor & Francis
This article shows in a simple model that the part of uncertainty measured by forecaster
disagreement rises in advance of and during recessions. Subsequently, it is tested using the …

Dancing with the stars: Does playing in elite tournaments affect performance?

İ Güner, M Hamidi Sahneh - Oxford Bulletin of Economics and …, 2023 - Wiley Online Library
This article documents spillover effects using participation in an elite international football
tournament as a laboratory. Using a novel dataset from top 5 European football leagues, we …

[PDF][PDF] What do we lose when we average expectations

C Bürgi - 2016 - gwu.edu
In this paper, I use the Bloomberg Survey of forecasts to assess if evaluating the distribution
of expectations will lead to important additional insights over the evaluation of the simple …

How to deal with missing observations in surveys of professional forecasters

CRS Bürgi - Journal of Applied Economics, 2023 - Taylor & Francis
Survey forecasts are prone to entry and exit of forecasters as well as forecasters not
contributing every period leading to gaps. These gaps make it difficult to compare individual …

The robustness of forecast combination in unstable environments: a Monte Carlo study of advanced algorithms

Y Zhao - Empirical Economics, 2021 - Springer
In this paper, we study the behavior and effectiveness of several recently developed forecast
combination algorithms in simulated unstable environments, where the performances of …

Bias, rationality and asymmetric loss functions

C Bürgi - Economics Letters, 2017 - Elsevier
In the literature, it is a common empirical finding that survey based expectations are biased
at the individual level. This has sparked a large debate if forecasters have asymmetric loss …