Blar i Arbeidsnotater / Working Papers på forfatter "Mitchell, James"
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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. ... -
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 ...