Forecast densities for economic aggregates from disaggregate ensembles

Francesco Ravazzolo and Shaun Vahey

No 2010/02, Working Paper from Norges Bank

Abstract: We propose a methodology for producing forecast densities for economic aggregates based on disaggregate evidence. Our ensemble predictive methodology utilizes a linear mixture of experts framework to combine the forecast densities from potentially many component models. Each component represents the univariate dynamic process followed by a single disaggregate variable. The ensemble produced from these components approximates the many unknown relationships between the disaggregates and the aggregate by using time-varying weights on the component forecast densities. In our application, we use the disaggregate ensemble approach to forecast US Personal Consumption Expenditure in°ation from 1997Q2 to 2008Q1. Our ensemble combining the evidence from 11 disaggregate series outperforms an aggregate autoregressive benchmark, and an aggregate time-varying parameter specification in density forecasting.

Keywords: Ensemble forecasting; disaggregates (search for similar items in EconPapers)
JEL-codes: C11 C32 C53 E37 E52 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2010-03-05
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets and nep-for
Note: First version:
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Citations: View citations in EconPapers (4)

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https://www.norges-bank.no/en/news-events/news-pub ... pers/2010/WP-201002/

Related works:
Journal Article: Forecast densities for economic aggregates from disaggregate ensembles (2014)
Working Paper: Forecast Densities for Economic Aggregates from Disaggregate Ensembles (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2010_02

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