Browsing Norges Banks publikasjonsserier / Norges Bank publication series by Subject "density forecasts"
Now showing items 1-3 of 3
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Combining Forecast Densities from VARs with Uncertain Instabilities
(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 Inflation Density Forecasts
(Working Papers;22/2008, Working paper, 2008)In this paper, we empirically evaluate competing approaches for combining inflation density forecasts in terms of Kullback-Leibler divergence. In particular, we apply a similar suite of models to four different data sets ... -
Density Forecasts with Midas Models
(Working Papers;10/2014, Working paper, 2014)In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions ...