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Weights and pools for a Norwegian density combination

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Author Info

  • Hilde Bjørnland

    (Norwegian School of Management (BI) and Norges Bank (Central Bank of Norway))

  • Karsten Gerdrup

    (Norges Bank (Central Bank of Norway))

  • Christie Smith

    ()
    (Reserve Bank of New Zealand)

  • Anne Sofie Jore

    (Norges Bank (Central Bank of Norway))

  • Leif Anders Thorsrud

    (Norges Bank (Central Bank of Norway))

Abstract

We apply a suite of models to produce quasi-real-time density forecasts of Norwegian GDP and in ation, and evaluate dfferent combination and selection methods using the Kullback-Leibler information criterion (KLIC). We use linear and logarithmic opinion pools in conjunction with various weighting schemes, and we compare these combinations to two different selection methods. In our application, logarithmic opinion pools were better than linear opinion pools, and score-based weights were generally superior to other weighting schemes. Model selection generally yielded poor density forecasts, as evaluated by KLIC.

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Bibliographic Info

Paper provided by Norges Bank in its series Working Paper with number 2010/06.

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Length: 25 pages
Date of creation: 19 May 2010
Date of revision:
Handle: RePEc:bno:worpap:2010_06

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Keywords: Model combination; evaluation; density forecasting; KLIC;

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Cited by:
  1. Paulo M. Sánchez & Luis Fernando Melo, 2013. "Combinación de brechas del producto colombiano," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
  2. Garratt, Anthony & Mitchell, James & Vahey, Shaun P. & Wakerly, Elizabeth C., 2011. "Real-time inflation forecast densities from ensemble Phillips curves," The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 77-87, January.
  3. Clark, Todd E. & Doh, Taeyoung, 2014. "Evaluating alternative models of trend inflation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 426-448.
  4. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8 Bank for International Settlements.
  5. Michelle Lewis, 2012. "Market Perceptions of Exchange Rate Risk," Reserve Bank of New Zealand Analytical Notes series AN2012/12, Reserve Bank of New Zealand.

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