Generalised density forecast combinations
From MaRDI portal
Publication:2354855
DOI10.1016/j.jeconom.2015.02.047zbMath1337.62292MaRDI QIDQ2354855
Publication date: 27 July 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2014-03/24_2014_fawcett_kapetanios_mitchell_price.pdf
62P20: Applications of statistics to economics
62M20: Inference from stochastic processes and prediction
91B84: Economic time series analysis
Related Items
Bayesian Nonparametric Calibration and Combination of Predictive Distributions, Can Coherent Predictions be Contradictory?, Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting, On the aggregation of probability assessments: regularized mixtures of predictive densities for eurozone inflation and real interest rates, Model averaging for asymptotically optimal combined forecasts, Adaptive variable selection for sequential prediction in multivariate dynamic models, CRPS Learning, A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities, Dynamic prediction pools: an investigation of financial frictions and forecasting performance, Comment on article by Windle and Carvalho, Dynamic Bayesian predictive synthesis in time series forecasting, Probabilistic forecasting of wave height for offshore wind turbine maintenance, Data fusion for uncertainty quantification with non-intrusive polynomial chaos, Forecasting Swiss exports using Bayesian forecast reconciliation, Bounds on the probability of radically different opinions, Infinite Markov pooling of predictive distributions
Cites Work
- Unnamed Item
- Unnamed Item
- Subsampling inference in threshold autoregressive models
- Dynamic prediction pools: an investigation of financial frictions and forecasting performance
- Combining predictive distributions
- A nonlinear panel data model of cross-sectional dependence
- Confronting model misspecification in macroeconomics
- Likelihood-based scoring rules for comparing density forecasts in tails
- Optimal prediction pools
- A survey of cross-validation procedures for model selection
- Subsampling
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Time-varying combinations of predictive densities using nonlinear filtering
- Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Sieve Extremum Estimates for Weakly Dependent Data
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Tests of Conditional Predictive Ability
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
