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Weights and pools for a Norwegian density combination

  • 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))

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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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
Note: First version:
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