Weights and Pools for a Norwegian Density Combination

Arbeitspapier

We apply a suite of models to produce quasi-real-time density forecasts of Norwegian GDP and inflation, and evaluate different combination and selection methods using the Kullback-Leibler information criterion (KLIC). We use linear and logarithmic opinion pools in conjunction with various weighting schemes, and we compare these combinations to two different selection methods. In our application, logarithmic opinion pools were better than linear opinion pools, and score-based weights were generally superior to other weighting schemes. Model selection generally yielded poor density forecasts, as evaluated by KLIC.

Object Details

• ISBN: 978-82-7553-552-6
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2010/06

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Evaluation, Validation, and Selection ; Forecasting Models; Simulation Methods ; Monetary Policy
• Subject: KLIC ; Kullback-Leibler information criterion ; model combination ; evaluation ; density forecasting

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bjørnland, Hilde C. ; Gerdrup, Karsten R. ; Smith, Christie ; Jore, Anne Sofie ; Thorsrud, Leif Anders
• Event: Veröffentlichung
• (who): Norges Bank
• (where): Oslo
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/209951
• Last update: 10.03.2025, 11:43 AM CET