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Improving Predictions using Ensemble Bayesian Model Averaging

  • Jacob M. Montgomery (a1), Florian M. Hollenbach (a2) and Michael D. Ward (a2)

We present ensemble Bayesian model averaging (EBMA) and illustrate its ability to aid scholars in the social sciences to make more accurate forecasts of future events. In essence, EBMA improves prediction by pooling information from multiple forecast models to generate ensemble predictions similar to a weighted average of component forecasts. The weight assigned to each forecast is calibrated via its performance in some validation period. The aim is not to choose some “best” model, but rather to incorporate the insights and knowledge implicit in various forecasting efforts via statistical postprocessing. After presenting the method, we show that EBMA increases the accuracy of out-of-sample forecasts relative to component models in three applied examples: predicting the occurrence of insurgencies around the Pacific Rim, forecasting vote shares in U.S. presidential elections, and predicting the votes of U.S. Supreme Court Justices.

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Authors' note: For generously sharing their data and models with us, we thank Alan Abramowitz, James Campbell, Robert Erikson, Ray Fair, Douglas Hibbs, Michael Lewis-Beck, Andrew D. Martin, Kevin Quinn, Stephen Shellman, Charles Tien, and Christopher Wlezien. We especially want to thank Adrian Raftery and Brendan Nyhan for their encouragement and feedback as this project evolved. The editor and the reviewers of Political Analysis provided especially salient suggestions that substantially improved our research.

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Political Analysis
  • ISSN: 1047-1987
  • EISSN: 1476-4989
  • URL: /core/journals/political-analysis
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