Article ID: | iaor199623 |
Country: | United States |
Volume: | 41 |
Issue: | 1 |
Start Page Number: | 68 |
End Page Number: | 75 |
Publication Date: | Jan 1995 |
Journal: | Management Science |
Authors: | Batchelor Roy, Dua Pami |
Keywords: | time series & forecasting methods |
The expected error variance of a combined forecast is necessarily lower than that of an individual forecast, but in practice there may be considerable variation around these expected values. This paper introduces a measure of the benefit from combining, the probability of a reduction in error variance, which recognizes this problem. The measure is applied to data on the forecasts and forecasting methods of a panel of U.S. economists to determine how the benefits of combining vary with the number of forecasts combined, and with the diversity in theories and techniques among the component forecasts.