Aggregate density forecast of models using disaggregate data - A copula approach

Arbeitspapier

We propose a novel copula approach to producing density forecasts of economic aggregates combining models using disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable to any econometric model that produces density forecasts. We construct a set of Monte Carlo studies to investigate the properties of the suggested approach. In our empirical application, we use the Norwegian index for goods consumption (VKI) and the Norwegian consumer price index for underlying inflation (CPI-ATE). We find that the copula approach compares well to alternative methods using recursive out-of-sample estimation.

Object Details

• ISBN: 978-82-8379-234-8
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 5/2022

Classification and Topics

• Classification: Wirtschaft ; Forecasting Models; Simulation Methods ; Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
• Subject: Aggregate forecast ; disaggregates ; density forecast ; copula

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Paulsen, Kenneth Sæterhagen ; Fastbø, Tuva Marie ; Ingebrigtsen, Tobias
• Event: Veröffentlichung
• (who): Norges Bank
• (where): Oslo
• (when): 2022

Further information

• Handle: http://hdl.handle.net/10419/264947
• Last update: 10.03.2025, 11:44 AM CET