Weights and pools for a Norwegian density combination

Hilde Bjørnland (), Karsten Gerdrup, Christie Smith, Anne Sofie Jore and Leif Thorsrud
Additional contact information
Karsten Gerdrup: Norges Bank (Central Bank of Norway)
Christie Smith: Reserve Bank of New Zealand
Anne Sofie Jore: Norges Bank (Central Bank of Norway)

No 2010/06, Working Paper from Norges Bank

Abstract: We apply a suite of models to produce quasi-real-time density forecasts of Norwegian GDP and in ation, and evaluate dfferent 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.

Keywords: Model combination; evaluation; density forecasting; KLIC (search for similar items in EconPapers)
JEL-codes: C32 C52 C53 E52 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2010-05-19
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-for
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References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://www.norges-bank.no/en/news-events/news-pub ... pers/2010/WP-201006/

Related works:
Journal Article: Weights and pools for a Norwegian density combination (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2010_06

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