• Combining Forecast Densities from VARs with Uncertain Instabilities 

      Jore, Anne Sofie; Mitchell, James; Vahey, Shaun P. (Working Papers;1/2008, Working paper, 2008)
      Clark and McCracken (2008) argue that combining real-time point forecasts from VARs of output, prices and interest rates improves point forecast accuracy in the presence of uncertain model instabilities. In this paper, we ...
    • Combining VAR and DSGE Forecast Densities 

      Bache, Ida Wolden; Jore, Anne Sofie; Mitchell, James; Vahey, Shaun P. (Working Papers;23/2009, Working paper, 2009)
      A popular macroeconomic forecasting strategy takes combinations across many models to hedge against instabilities of unknown timing; see (among others) Stock and Watson (2004), Clark and McCracken (2010), and Jore et al. ...
    • Forecast Densities for Economic Aggregates from Disaggregate Ensembles 

      Ravazzolo, Francesco; Vahey, Shaun P. (Working Papers;2/2010, Working paper, 2010)
      We propose a methodology for producing forecast densities for economic aggregates based on disaggregate evidence. Our ensemble predictive methodology utilizes a linear mixture of experts framework to combine the forecast ...
    • Macro Modelling with Many Models 

      Bache, Ida Wolden; Mitchell, James; Ravazzolo, Francesco; Vahey, Shaun P. (Working Papers;15/2009, Working paper, 2009)
      We argue that the next generation of macro modellers at Inflation Targeting central banks should adapt a methodology from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about ...
    • RBCs and DSGEs: The Computational Approach to Business Cycle Theory and Evidence 

      Karagedikli, Özer; Matheson, Troy; Smith, Christie; Vahey, Shaun P. (Working Papers;17/2008, Working paper, 2008)
      Real Business Cycle (RBC) and Dynamic Stochastic General Equilibrium (DSGE) methods have become essential components of the macroeconomist’s toolkit. This literature review stresses recently developed techniques for ...