Arbeitspapier
Forecasting using relative entropy
The paper describes a relative entropy procedure for imposing moment restrictions on simulated forecast distributions from a variety of models. Starting from an empirical forecast distribution for some variables of interest, the technique generates a new empirical distribution that satisfies a set of moment restrictions. The new distribution is chosen to be as close as possible to the original in the sense of minimizing the associated Kullback-Leibler Information Criterion, or relative entropy. The authors illustrate the technique by using several examples that show how restrictions from other forecasts and from economic theory may be introduced into a model's forecasts.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 2002-22
- Classification
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Wirtschaft
- Subject
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Forecasting
- Event
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Geistige Schöpfung
- (who)
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Robertson, John C.
Tallman, Ellis W.
Whiteman, Charles H.
- Event
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Veröffentlichung
- (who)
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Federal Reserve Bank of Atlanta
- (where)
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Atlanta, GA
- (when)
-
2002
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Robertson, John C.
- Tallman, Ellis W.
- Whiteman, Charles H.
- Federal Reserve Bank of Atlanta
Time of origin
- 2002
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