Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach
Edward Knotek and
Saeed Zaman
No 20-31, Working Papers from Federal Reserve Bank of Cleveland
Abstract:
We develop a flexible modeling framework to produce density nowcasts for US inflation at a trading-day frequency. Our framework: (1) combines individual density nowcasts from three classes of parsimonious mixed-frequency models; (2) adopts a novel flexible treatment in the use of the aggregation function; and (3) permits dynamic model averaging via the use of weights that are updated based on learning from past performance. Together these features provide density nowcasts that can accommodate non-Gaussian properties. We document the competitive properties of the nowcasts generated from our framework using high-frequency real-time data over the period 2000-2015.
Keywords: mixed-frequency models; inflation; density nowcasts; density combinations (search for similar items in EconPapers)
JEL-codes: C15 C53 E3 E37 (search for similar items in EconPapers)
Pages: 49
Date: 2020-10-22
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
References: Add references at CitEc
Citations:
Downloads: (external link)
https://doi.org/10.26509/frbc-wp-202031 Full Text (text/html)
Related works:
Journal Article: Real-time density nowcasts of US inflation: A model combination approach (2023)
Working Paper: Real-time density nowcasts of US inflation: a model-combination approach (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwq:88961
Ordering information: This working paper can be ordered from
4d.library@clev.frb.org
DOI: 10.26509/frbc-wp-202031
Access Statistics for this paper
More papers in Working Papers from Federal Reserve Bank of Cleveland Contact information at EDIRC.
Bibliographic data for series maintained by 4D Library (4d.library@clev.frb.org).