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.
Highlights
В статье освещен ряд проблем, возникающих при большом разнообразии методов построения весовых коэффициентов, в первую очередь касающихся интерпретации полученных расчетных значений весовых коэффициентов которые влияют на точность прогнозов
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
Романюк Эвелина Игоревна - научный сотрудник, Институт экономики РАН
Summary
Александр Адольфович Френкель, Наталья Николаевна Волкова, Антон Александрович Сурков, Эвелина Игоревна Романюк Институт экономики РАН, г. Авторами проанализированы ранее предложенные подходы по модификации наиболее популярных методов построения весовых коэффициентов Грейнджера-Раманатхана и Бейтса-Грейнджера, которые позволяют решить проблему возможности получения отрицательных весов при объединении прогнозов. Проведенный анализ показывает, что объединение прогнозов остается наиболее эффективным методом повышения точности прогнозирования, а предлагаемые авторами модификации методов построения весовых коэффициентов заслуживают дальнейшего их использования в экономической практике. 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. For citation: 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. Statistical Methods in Economic Forecasting объединенный прогноз наиболее часто строится как линейная комбинация частных прогнозов. В этом случае следует перейти ко второму этапу объединения прогнозов, на кото ром происходят объединения вида: K(K(1;2);3) и K(K(1;2);4), то есть объединение пары, полу ченной на первом этапе объединения прогнозов
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