Browsing Norges Banks vitenarkiv by Subject "model combination"
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Evaluating Ensemble Density Combination - Forecasting GDP and Inflation
(Working Papers;19/2009, Working paper, 2009)Forecast combination has become popular in central banks as a means to improve forecasts and to alleviate the risk of selecting poor models. However, if a model suite is populated with many similar models, then the weight ... -
Weights and Pools for a Norwegian Density Combination
(Working Papers;6/2010, Working paper, 2010)We apply a suite of models to produce quasi-real-time density forecasts of Norwegian GDP and inflation, and evaluate different combination and selection methods using the Kullback-Leibler information criterion (KLIC). We ...