Browsing Arbeidsnotater / Working Papers by Subject "forecast combination"
Now showing items 1-6 of 6
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Bayesian Nonparametric Calibration and Combination of Predictive Distributions
(Working Papers;3/2015, Working paper, 2015)We introduce a Bayesian approach to predictive density calibration and combination that accounts for parameter uncertainty and model set incompleteness through the use of random calibration functionals and random combination ... -
Combination Schemes for Turning Point Predictions
(Working Papers;4/2012, Working paper, 2012)We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning ... -
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 ... -
Does Forecast Combination Improve Norges Bank Inflation Forecasts?
(Working Papers;1/2009, Working paper, 2009)We develop a system that provides model-based forecasts for inflation in Norway. Forecasts are recursively evaluated from 1999 to 2008. The performance of the models over this period is then used to derive weights that are ... -
Forecasting Inflation with an Uncertain Output Gap
(Working Papers;2/2006, Working paper, 2006)The output gap is a crucial concept in the monetary policy framework, indicating demand pressure that generates inflation. However, its definition and estimation raise a number of theoretical and empirical questions. This ... -
Term Structure Forecasting Using Macro Factors and Forecast Combination
(Working Papers;1/2010, Working paper, 2010)We examine the importance of incorporating macroeconomic information and, in particular, accounting for model uncertainty when forecasting the term structure of U.S.interest rates. We start off by analyzing and comparing ...