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Density forecasts based on disaggregate data: nowcasting Polish inflation

Błażej Mazur ()

Dynamic Econometric Models, 2015, vol. 15, 71-87

Abstract: The paper investigates gains in performance of density forecasts from models using disaggregate data when forecasting aggregate series. The problem is considered within a restricted VAR framework with alternative sets of exclusion restrictions. Empirical analysis of Polish CPI m-o-m inflation rate (using its 14 sub-categories for disaggregate modelling) is presented. Exclusion restrictions are shown to improve density forecasting performance (as evaluated using log-score and CRPS criteria) relatively to aggregate and also disaggregate unrestricted models.

Keywords: prediction; model comparison; density forecasting; inflation; VAR models; shrinkage (search for similar items in EconPapers)
JEL-codes: E31 E37 C53 C32 (search for similar items in EconPapers)
Date: 2015
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