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Combining forecast densities from VARs with uncertain instabilities

Sofie Jore, Anne; Mitchell, James; Vahey, Shaun

Description

Recursive-weight forecast combination is often found to an ineffective method of improving point forecast accuracy in the presence of uncertain instabilities. We examine the effectiveness of this strategy for forecast densities using (many) vector autoregressive (VAR) and autoregressive (AR) models of output growth, inflation and interest rates. Our proposed recursive-weight density combination strategy, based on the recursive logarithmic score of the forecast densities, produces...[Show more]

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
URI: http://hdl.handle.net/1885/61733
Source: Journal of Applied Econometrics
DOI: 10.1002/jae.1162

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