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The Combination of Forecasts

J. M. Bates and C. W. J. Granger
OR
Vol. 20, No. 4 (Dec., 1969), pp. 451-468
DOI: 10.2307/3008764
Stable URL: http://www.jstor.org/stable/3008764
Page Count: 18
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The Combination of Forecasts
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Abstract

Two separate sets of forecasts of airline passenger data have been combined to form a composite set of forecasts. The main conclusion is that the composite set of forecasts can yield lower mean-square error than either of the original forecasts. Past errors of each of the original forecasts are used to determine the weights to attach to these two original forecasts in forming the combined forecasts, and different methods of deriving these weights are examined.

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