Forecast Combination With Entry and Exit of Experts-结合专家出入境预测

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英文文献：Forecast Combination With Entry and Exit of Experts-结合专家出入境预测
英文文献作者：Carlos Capistrán,Allan Timmermann
英文文献摘要：
Combination of forecasts from survey data is complicated by the frequent entry and exit of individual forecasters which renders conventional least squares regression approaches infeasible. We explore the consequences of this issue for existing combination methods and propose new methods for bias-adjusting the equal-weighted forecast or applying combinations on an extended panel constructed by back-filling missing observations using an EM algorithm. Through simulations and an application to a range of macroeconomic variables we show that the entry and exit of forecasters can have a large effect on the real-time performance of conventional combination methods. The bias-adjusted combination method is found to work well in practice.

来自调查数据的预测组合由于个别预测者的频繁进入和退出而变得复杂，这使得传统的最小二乘回归方法不可行。我们探讨了这一问题对现有组合方法的影响，并提出了调整偏倚等加权预测的新方法，或将组合应用于使用EM算法对缺失观测进行回填构建的扩展面板。通过模拟和对一系列宏观经济变量的应用，我们表明预测者的进入和退出对传统组合方法的实时性能有很大的影响。在实际应用中，该方法取得了较好的效果。

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