Comparative Analysis of Modified Granger-Ramanathan and Bates-Granger Methods to Combine Forecasts of the Dynamics of Economic Indicators
https://doi.org/10.34023/2313-6383-2019-26-8-14-27
Abstract
Combining forecasts is one of the most effective and well-established methods for improving the accuracy of economic forecasting. This approach allows the use of all available information about the predicted phenomenon contained in individual forecasting methods. Moreover, today there are many approaches to construct weights, through which particular forecasts are combined.
But with a large variety of methods for constructing weight coefficients, there are a number of problems, primarily concerning the interpretation of the weight coefficients that affect the accuracy of forecasts. The purpose of this paper is to analyze the previously proposed approaches to modify the most popular methods for constructing the weighting coefficients of Granger-Ramanathan and Bates-Granger, which allow to solve the problem of the possibility of obtaining negative weights when combining forecasts. As well as to compare the accuracy of the results when using data modifications of the methods for combining forecasts with private forecasting methods and with the original methods of combining.
All the methods described in the work were used to predict some specific types of industrial products produced in Russia, presented as annual data for the period from 1952 to 2018: steel, coke, plywood and cement. Based on the developed forecasts, the accuracy of the obtained results was compared.
As a result of the analysis, it was determined that the combination of forecasts remains the most effective method for improving the accuracy of forecasting, and the modifications proposed by the authors to the methods for constructing weight coefficients deserve their further use in economic practice.
About the Authors
A. A. Frenkel
Institute of Economics of the Russian Academy of Sciences (RAS)
Russian Federation
Russian Federation
Alexander A. Frenkel - Dr. Sci. (Econ.), Professor, Chief Researcher
32, Nakhimovsky Av., Moscow, 117218, RussiaN. N. Volkova
Institute of Economics of the Russian Academy of Sciences (RAS)
Russian Federation
Russian Federation
Natalia N. Volkova - Cand. Sci. (Econ.), Leading Researcher
32, Nakhimovsky Av., Moscow, 117218, Russia
A. A. Surkov
Institute of Economics of the Russian Academy of Sciences (RAS)
Russian Federation
Russian Federation
Anton A. Surkov – Researcher
32, Nakhimovsky Av., Moscow, 117218, RussiaE. I. Romanyuk
Institute of Economics of the Russian Academy of Sciences (RAS)
Russian Federation
Russian Federation
Evelina I. Romanyuk – Researcher
32, Nakhimovsky Av., Moscow, 117218, Russia
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Review
For citations:
Frenkel A.A., Volkova N.N., Surkov A.A., Romanyuk E.I. Comparative Analysis of Modified Granger-Ramanathan and Bates-Granger Methods to Combine Forecasts of the Dynamics of Economic Indicators. Voprosy statistiki. 2019;26(8):14-27. (In Russ.) https://doi.org/10.34023/2313-6383-2019-26-8-14-27
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