Combining inflation density forecasts

DOI10.1002/for.1147zbMath1204.91092OpenAlexW2159232612MaRDI QIDQ3065506

Christian Kascha, Francesco Ravazzolo

Publication date: 6 January 2011

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11250/2497763

zbMATH Keywords

forecast combinationdensity forecastsinflation forecastinglogarithmic combinations

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (13)

A note on predictive densities based on composite likelihood methods ⋮ Combining predictive distributions ⋮ The power of weather ⋮ Infinite Markov pooling of predictive distributions ⋮ On the aggregation of probability assessments: regularized mixtures of predictive densities for eurozone inflation and real interest rates ⋮ Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil ⋮ A Bayesian approach to aggregate experts' initial information ⋮ Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting ⋮ Combining VAR and DSGE forecast densities ⋮ Time-varying combinations of predictive densities using nonlinear filtering ⋮ Dynamic Bayesian predictive synthesis in time series forecasting ⋮ Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights ⋮ MODEL IMPERFECTION AND PREDICTING PREDICTABILITY

Cites Work

• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Consistent model specification tests
• Bootstrap conditional distribution tests in the presence of dynamic misspecification
• Predictive density and conditional confidence interval accuracy tests
• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
• Comparing dynamic equilibrium models to data: a Bayesian approach
• Combining probability distributions: A critique and an annotated bibliography
• Pooling of forecasts
• Multivariate linear time series models
• The Opinion Pool
• Combining Probability Distributions from Dependent Information Sources
• Combining Expert Judgments: A Bayesian Approach
• Asymptotic Theory of Integrated Conditional Moment Tests
• Bayesian Model Averaging for Linear Regression Models

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