Forecast combination and the Bank of England's suite of statistical  forecasting models
By: George Kapetanios, Vincent Labhard, and Simon Price.
Contributors: Labhard, Vincent.; Price, Simon.; Bank of England.
Series: Working paper -- no. 323; Working paper (Bank of England : Online) -- no. 323.
Publisher: Bank of England
Published: 2007
Place of publication: London
Language: eng
Format: Electronic resource
Description: "The Bank of England has constructed a 'suite of statistical forecasting models' (the 'Suite')  providing judgement-free statistical forecasts of in ation and output growth as one of many inputs  into the forecasting process, and to offer measures of relevant news in the data. The Suite  combines a small number of forecasts generated using different sources of information and  methodologies. The main combination methods employ weights that are equal or based on the  Akaike information criterion (using likelihoods built from estimation errors). This paper sets a  general context for this exercise, and describes some features of the Suite as it stood in May 2005.  The forecasts are evaluated over the period of Bank independence (1997 Q2 to 2005 Q1) by a  mean square error criterion. The forecast combinations generally lead to a reduction in forecast  error, although over this period some of the benchmark models are hard to beat."--Bank of England web site.
Notes: Title from PDF file as viewed on Jan. 28, 2008.

Includes bibliographical references.

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