Combining forecast densities from VARs with uncertain instabilities
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]
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|Source:||Journal of Applied Econometrics|
|01_Sofie Jore_Combining_forecast_densities_2010.pdf||122.16 kB||Adobe PDF||Request a copy|
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