English

Minimizing post-shock forecasting error through aggregation of outside information

Methodology 2020-08-28 v1 Applications

Abstract

We develop a forecasting methodology for providing credible forecasts for time series that have recently undergone a shock. We achieve this by borrowing knowledge from other time series that have undergone similar shocks for which post-shock outcomes are observed. Three shock effect estimators are motivated with the aim of minimizing average forecast risk. We propose risk-reduction propositions that provide conditions that establish when our methodology works. Bootstrap and leave-one-out cross validation procedures are provided to prospectively assess the performance of our methodology. Several simulated data examples, and a real data example of forecasting Conoco Phillips stock price are provided for verification and illustration.

Keywords

Cite

@article{arxiv.2008.11756,
  title  = {Minimizing post-shock forecasting error through aggregation of outside information},
  author = {Jilei Lin and Daniel J. Eck},
  journal= {arXiv preprint arXiv:2008.11756},
  year   = {2020}
}
R2 v1 2026-06-23T18:07:32.633Z