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Forecast densities for economic aggregates from disaggregate ensembles

Ravazzolo, Francesco; Vahey, Shaun P.


We extend the “bottom up” approach for forecasting economic aggregates with disaggregates to probability forecasting. Our methodology utilises a linear opinion pool to combine the forecast densities from many disaggregate forecasting specifications, using weights based on the continuous ranked probability score. We also adopt a post-processing step prior to forecast combination. These methods are adapted from the meteorology literature. In our application, we use our approach to forecast US...[Show more]

CollectionsANU Research Publications
Date published: 2014-08-13
Type: Journal article
Source: Studies in Nonlinear Dynamics & Econometrics
DOI: 10.1515/snde-2012-0088
Access Rights: Open Access


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