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Density Forecast Combination

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  • Stephen Hall

    ()

  • James Mitchell

    ()

Abstract

In this paper we investigate whether and how far density forecasts sensibly can be combined to produce a "better" pooled density forecast. In so doing we bring together two important but hitherto largely unrelated areas of the forecasting literature in economics, density forecasting and forecast combination. We provide simple Bayesian methods of pooling information across alternative density forecasts. We illustrate the proposed techniques in an application to two widely used published density forecasts for U.K. inflation. We examine whether in practice improved density forecasts for inflation, one year ahead, might have been obtained if one had combined the Bank of England and NIESR density forecasts or "fan charts".

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Bibliographic Info

Paper provided by National Institute of Economic and Social Research in its series NIESR Discussion Papers with number 249.

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Date of creation: Nov 2004
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Handle: RePEc:nsr:niesrd:249

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Cited by:
  1. Silvia Lui & James Mitchell & Martin Weale, 2009. "Measuring Output Gap Uncertainty," NIESR Discussion Papers 343, National Institute of Economic and Social Research.
  2. Emil Stavrev, 2006. "Measures of Underlying Inflation in the Euro Area: Assessment and Role for Informing Monetary Policy," IMF Working Papers 06/197, International Monetary Fund.

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