Density Forecast Combination
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".Download Info
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Paper provided by National Institute of Economic and Social Research in its series NIESR Discussion Papers with number 249.Length:
Date of creation: Nov 2004
Date of revision:
Handle: RePEc:nsr:niesrd:249
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Web page: http://www.niesr.ac.uk
Related research
Keywords:This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-29 (All new papers)
- NEP-ECM-2005-10-29 (Econometrics)
- NEP-ETS-2005-10-29 (Econometric Time Series)
- NEP-FOR-2005-10-29 (Forecasting)
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Silvia Lui & James Mitchell & Martin Weale, 2009.
"Measuring Output Gap Uncertainty,"
NIESR Discussion Papers
343, National Institute of Economic and Social Research.
- Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009. "Measuring output gap uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2009/15, Reserve Bank of New Zealand.
- Garratt, Anthony & Mitchell, James & Vahey, Shaun, 2010. "Measuring Output Gap Uncertainty," CEPR Discussion Papers 7742, C.E.P.R. Discussion Papers.
- Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009. "Measuring Output Gap Uncertainty," Birkbeck Working Papers in Economics and Finance 0909, Birkbeck, Department of Economics, Mathematics & Statistics.
- James Mitchell & Garratt, A., Vahey, S.P., 2009. "Measuring Output Gap Uncertainty," NIESR Discussion Papers 342, National Institute of Economic and Social Research.
- 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.
- Emil Stavrev, 2010. "Measures of underlying inflation in the euro area: assessment and role for informing monetary policy," Empirical Economics, Springer, vol. 38(1), pages 217-239, February.
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