Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts

DOI10.1080/07350015.2015.1087856MaRDI QIDQ6616625zbMATH OpenFDO

Authors Fabian Krüger, Todd E. Clark, Francesco Ravazzolo

Publication date 9 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 3.0 Unported

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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• A real-time data set for macroeconomists
• Asymptotic Inference about Predictive Ability
• Automatic Lag Selection in Covariance Matrix Estimation
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• Optimal prediction pools
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• Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Tests of Conditional Predictive Ability
• The Opinion Pool
• Time Varying Structural Vector Autoregressions and Monetary Policy
• ggplot2. Elegant graphics for data analysis

Cited in

(1)

• Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula

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