Abstract :
We consider the problem of combining forecasts from two different levels ~called
“macro” and “micro”!, where we have access to the forecasts and their precisions
but not to the full data set+We develop a theoretical framework and provide Monte
Carlo evidence in the cases of both perfect and imperfect aggregation+ Our proposed
procedure is simple and robust+ We also extend the procedure to time series
and propose a forecast model for the European zero rates, combining quarterly and
monthly observations+ We show that forecast accuracy is improved at both levels+
