Forecast densities for economic aggregates from disaggregate ensembles
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Ravazzolo, Francesco; Vahey, Shaun P.
Description
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]
dc.contributor.author | Ravazzolo, Francesco | |
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dc.contributor.author | Vahey, Shaun P. | |
dc.date.accessioned | 2016-03-22T00:34:22Z | |
dc.date.available | 2016-03-22T00:34:22Z | |
dc.identifier.issn | 1558-3708 | |
dc.identifier.uri | http://hdl.handle.net/1885/100853 | |
dc.description.abstract | 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 Personal Consumption Expenditure inflation from 1990q1 to 2009q4. Our ensemble combining the evidence from 16 disaggregate PCE series outperforms an integrated moving average specification for aggregate inflation in terms of density forecasting. | |
dc.description.sponsorship | We thank the ARC, Norges Bank, the Reserve Bank of Australia and the Reserve Bank of New Zealand for supporting this research (LP 0991098). | |
dc.publisher | Berkeley Electronic Press | |
dc.rights | http://www.sherpa.ac.uk/romeo/issn/1558-3708..."Publisher's version/PDF may be used, on author's personal website, editor's personal website or institutional repository. 12 months embargo" from SHERPA/RoMEO site (as at 22/03/16). | |
dc.source | Studies in Nonlinear Dynamics & Econometrics | |
dc.subject | density combinations | |
dc.subject | disaggregates | |
dc.subject | ensemble forecasting | |
dc.title | Forecast densities for economic aggregates from disaggregate ensembles | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES. | |
local.identifier.citationvolume | 18 | |
dc.date.issued | 2014-08-13 | |
local.identifier.absfor | 140212 | |
local.identifier.absfor | 140303 | |
local.identifier.ariespublication | u4602557xPUB147 | |
local.publisher.url | http://www.degruyter.com/ | |
local.type.status | Published Version | |
local.contributor.affiliation | Ravazzolo, Francesco, Norges Bank, Norway | |
local.contributor.affiliation | Vahey, Shaun, College of Business and Economics, College of Business and Economics, Research School of Economics (RSEcon), The Australian National University | |
dc.relation | http://purl.org/au-research/grants/arc/LP0991098 | |
local.bibliographicCitation.issue | 4 | |
local.bibliographicCitation.startpage | 367 | |
local.bibliographicCitation.lastpage | 381 | |
local.identifier.doi | 10.1515/snde-2012-0088 | |
local.identifier.absseo | 910108 | |
dc.date.updated | 2016-06-14T09:06:32Z | |
local.identifier.scopusID | 2-s2.0-84907663816 | |
dcterms.accessRights | Open Access | |
Collections | ANU Research Publications |
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File | Description | Size | Format | Image |
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01_Ravazzolo_Forecast_densities_for_2014.pdf | Published Version | 278.64 kB | Adobe PDF |
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