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1

COMBINING THE INFLATION RATE FORECASTS PROVIDED BY THE SURVEY OF PROFESSIONAL FORECASTERS (SPF)

100%

Simionescu M.

Czech Journal of Social Sciences, Business and Economics

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2014

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vol. 3

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issue 1

56-64

EN

In this study more alternative forecasts combinations were proposed in order to improve the performance of the predictions provided by the Survey of Professional Forecasters (SPF) on the horizon Q1:2000-Q4:2013. For the inflation rate forecasts provided by SPF there are several methods that substantial improved the performance: projection on the mean, the method based on principal components analysis and the least squares approach. The quite good accuracy of alternative combinations may determine persistent bias in the equal weighted forecast and a positive persistence.

2

Comparative analysis of accuracy of selected methods of building of combined forecasts and meta-forecast

88%

Perzyńska J.

Econometrics. Ekonometria. Advances in Applied Data Analytics

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2013

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issue 1(39)

152-161

EN

In this paper the author presents a method of building a meta-forecast as an arithmetic mean of the combined forecasts set by various methods. The empirical example, in which the forecasts (individual, combined and meta-forecasts) are determined for the microeconomic variable with seasonal fluctuations, is the illustration of theoretical considerations. The accuracy of meta-forecasts is compared with the accuracy of their component combined forecasts and individual forecasts. The empirical studies confirm the usefulness of meta-forecasts. In most cases, they have lower errors than their component combined forecasts, also they are more accurate than individual forecasts.

3

Combining forecasts? Keep it simple

88%

Lis S., Chlebus M.

Central European Economic Journal

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2023

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vol. 10

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issue 57

343-370

EN

This study contrasts GARCH models with diverse combined forecast techniques for Commodities Value at Risk (VaR)modeling, aiming to enhance accuracy and provide novel insights. Employing daily returns data from 2000 to 2020 forgold, silver, oil, gas, and copper, various combination methods are evaluated using the Model Confidence Set (MCS) procedure. Results show individual models excel in forecasting VaR at a 0.975 confidence level, while combined methods outperform at 0.99 confidence. Especially during high uncertainty, as during COVID-19, combined forecasts prove more effective. Surprisingly, simple methods such as mean or lowest VaR yield optimal results, highlighting their efficacy. This study contributes by offering a broad comparison of forecasting methods, covering a substantial period, and dissecting crisis and prosperity phases. This advances understanding in financial forecasting, benefiting both academia and practitioners.

4

Point forecasts based on the limits of the forecast intervals to improve the SPF predictions

75%

(Simionescu) Mihaela B.

Business and Economic Horizons

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2012

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vol. 8

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issue 2

1-11

EN

In this study, some strategies of improving the forecasts accuracy were tested for the USA quarterly inflation rate. The classical filters and Holt Winters technique were applied for one-step-ahead forecasts on a horizon of four quarters from 1975 to 2011. Combined forecasts were made using the original SPF values and the new predictions based on filters and Holt Winters method. Some conclusions are valid for all the years for which forecasts are provided: combined predictions based on classical schemes (optimal, inverse weighted and equally weighted scheme) and the smoothed SPF forecasts using Holt Winters technique are two strategies of improving the accuracy of SPF expectations. However, the last one is the best, one reason being that the future evolution of inflation in USA is determined by recent values.

5

The Performance of Unemployment Rate Predictions in Romania. Strategies to Improve the Forecasts Accuracy

75%

Simionescu M.

Review of Economic Perspectives

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2013

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vol. 13

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issue 4

161-175

EN

The evaluation and improvement of forecasts accuracy generate growth in the quality of decisional process. In Romania, the most accurate predictions for the unemployment rate on the forecasting horizon 2001-2012 were provided by the Institute for Economic Forecasting (IEF) that is followed by European Commission and National Commission for Prognosis (NCP). The result is based on U1, but if more indicators are taken into consideration at the same time using the multi-criteria ranking, the conclusion remains the same. A suitable strategy for improving the degree of accuracy for these forecasts is represented by the combined forecasts. The accuracy of NCP predictions can be improved on the horizon 2001-2012, if the initial values are smoothed using Holt-Winters technique and Hodrick-Prescott filter. The use of Monte Carlo method to simulate the forecasted unemployment rate proved to be the best way to improve the predictions accuracy. Starting from an AR(1) model for the interest variable, the uncertainty analysis was included, the simulations being made for the parameters. Actually, the means of the forecasts distributions for unemployment are considered as point predictions which outperform the expectations of the three institutions. The strategy based on Monte Carlo method is an original contribution of the author introduced in this article regarding the empirical strategies of getting better predictions.

6

Sieci Kohonena jako narzędzie wspomagające budowę prognoz kombinowanych

63%

Perzyńska J.

Zeszyty Naukowe ZPSB Firma i Rynek

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2017

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issue 2(52)

77-85

PL

W artykule przedstawiono propozycję wykorzystania sieci Kohonena we wstępnym etapie budowy prognoz kombinowanych. Przy pomocy sieci Kohonena można podzielić zbiór dostępnych modeli na rozłączne klasy, a następnie dokonać redukcji ich liczby. Prognozy składowe prognoz kombinowanych wyznacza się wówczas na podstawie modeli należących do różnych klas, co ma zapewnić niepowielanie informacji oraz zwiększyć dokładność prognoz kombinowanych. Ilustracją rozważań o charakterze teoretycznym jest przykład empiryczny, w którym prognozy (indywidualne i kombinowane) wyznaczono dla zmiennej mikroekonomicznej wykazującej wahania sezonowe. Przeprowadzone badania potwierdziły użyteczność zaproponowanej metody.

EN

In the paper, the author presents suggestion of application of Self-Organizing Maps in the preliminary stage of construction of combined forecasts. Using the SOM, the set of available models can be divided into disjoint classes and then reduced. The component forecasts are then determined on the basis of models belonging to different classes, to ensure that information is not duplicated and to increase the accuracy of the combined forecasts. The illustration of theoretical considerations is the empirical example, in which individual and combined forecasts are calculated for economic variable with seasonal fluctations. The research confirms the usefulness of the suggested method.

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1 Business and Economic Horizons

1 Central European Economic Journal

1 Czech Journal of Social Sciences, Business and Economics

1 Econometrics. Ekonometria. Advances in Applied Data Analytics

1 Review of Economic Perspectives

1 Zeszyty Naukowe ZPSB Firma i Rynek

2 Perzyńska J.

2 Simionescu M.

1 (Simionescu) Mihaela B.

1 Chlebus M.

1 Lis S.

1 2023

1 2017

1 2014