Skip navigation
Skip navigation

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


File Description SizeFormat Image
01_Ravazzolo_Forecast_densities_for_2014.pdfPublished Version278.64 kBAdobe PDFThumbnail

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  20 July 2017/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator