Optimal prediction pools

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dc.contributor.author Geweke, J
dc.contributor.author Amisano, G
dc.date.accessioned 2012-10-12T03:34:55Z
dc.date.issued 2011-09-01
dc.identifier.citation Journal of Econometrics, 2011, 164 (1), pp. 130 - 141
dc.identifier.issn 0304-4076
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/18820
dc.description.abstract We consider the properties of weighted linear combinations of prediction models, or linear pools, evaluated using the log predictive scoring rule. Although exactly one model has limiting posterior probability, an optimal linear combination typically includes several models with positive weights. We derive several interesting results: for example, a model with positive weight in a pool may have zero weight if some other models are deleted from that pool. The results are illustrated using S&P 500 returns with six prediction models. In this example models that are clearly inferior by the usual scoring criteria have positive weights in optimal linear pools. © 2011 Elsevier B.V. All rights reserved.
dc.language eng
dc.relation.isbasedon 10.1016/j.jeconom.2011.02.017
dc.title Optimal prediction pools
dc.type Journal Article
dc.description.version Published
dc.parent Journal of Econometrics
dc.journal.volume 1
dc.journal.volume 164
dc.journal.number 1 en_US
dc.publocation Lausanne en_US
dc.identifier.startpage 130 en_US
dc.identifier.endpage 141 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1403 Econometrics
dc.personcode 101228
dc.percentage 100 en_US
dc.classification.name Econometrics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Forecasting
dc.description.keywords Log scoring
dc.description.keywords Model combination
dc.description.keywords S&P 500 returns
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Economics
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
utslib.collection.history Economics (ID: 372)
utslib.collection.history Closed (ID: 3)


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