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Real-time inflation forecast densities from ensemble Phillips curves

Garratt, Anthony; Mitchell, James; Vahey, Shaun; Wakerly, Elizabeth

Description

We examine the effectiveness of recursive-weight and equal-weight combination strategies for forecasting using many time-varying models of the relationship between inflation and the output gap. The forecast densities for inflation reflect the uncertainty

dc.contributor.authorGarratt, Anthony
dc.contributor.authorMitchell, James
dc.contributor.authorVahey, Shaun
dc.contributor.authorWakerly, Elizabeth
dc.date.accessioned2015-12-10T23:08:52Z
dc.identifier.issn1062-9408
dc.identifier.urihttp://hdl.handle.net/1885/63284
dc.description.abstractWe examine the effectiveness of recursive-weight and equal-weight combination strategies for forecasting using many time-varying models of the relationship between inflation and the output gap. The forecast densities for inflation reflect the uncertainty
dc.publisherElsevier
dc.sourceNorth American Journal of Economics and Finance
dc.subjectKeywords: Density combination; Ensemble forecasting; Phillips curve
dc.titleReal-time inflation forecast densities from ensemble Phillips curves
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume22
dc.date.issued2011
local.identifier.absfor140212 - Macroeconomics (incl. Monetary and Fiscal Theory)
local.identifier.ariespublicationf2965xPUB789
local.type.statusPublished Version
local.contributor.affiliationGarratt, Anthony, University of London
local.contributor.affiliationMitchell, James, National Institute of Economic and Social Resarch
local.contributor.affiliationVahey, Shaun, College of Business and Economics, ANU
local.contributor.affiliationWakerly, Elizabeth, College of Asia and the Pacific, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.startpage77
local.bibliographicCitation.lastpage87
local.identifier.doi10.1016/j.najef.2010.09.003
local.identifier.absseo910103 - Economic Growth
dc.date.updated2016-02-24T08:32:43Z
local.identifier.scopusID2-s2.0-79952699055
CollectionsANU Research Publications

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