【Metrics Seminar】Flexible Global Forecast Combinations
2024/11/21
研討會日期 : 2024-11-21
時間 : 14:30
主講人 : Professor Andrey Vasnev
地點 : Conference Room B110
主持人 : Professor Chu-An Liu
演講者簡介 : Professor Andrey Vasnev received his Ph.D. in Economics from Tilburg University in 2006. He is an Associate Professor at the University of Sydney. His research interests are Forecast Combination in Business, Finance, and Economic Applications.
演講摘要 : Forecast combination – the aggregation of individual forecasts from multiple experts or models – is a proven approach to economic forecasting. To date, research on economic forecasting has concentrated on local combination methods, which handle separate but related forecasting tasks in isolation. Yet, it has been known for over two decades in the machine learning community that global methods, which exploit task-relatedness, can improve on local methods that ignore it. Motivated by the possibility for improvement, this paper introduces a framework for globally combining forecasts while being flexible to the level of task-relatedness. Through our framework, we develop global versions of several existing forecast combinations. To evaluate the efficacy of these new global forecast combinations, we conduct extensive comparisons using synthetic and real data. Our real data comparisons, which involve forecasts of core economic indicators in the Eurozone, provide empirical evidence that the accuracy of global combinations of economic forecasts can surpass local combinations.
