Forecast densities for economic aggregates from disaggregate ensembles
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]
|Collections||ANU Research Publications|
|Source:||Studies in Nonlinear Dynamics & Econometrics|
|01_Ravazzolo_Forecast_densities_for_2014.pdf||Published Version||278.64 kB||Adobe PDF|
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