Real-time density nowcasts of US inflation: A model combination approach

Edward Knotek and Saeed Zaman

International Journal of Forecasting, 2023, vol. 39, issue 4, 1736-1760

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. These features provide density nowcasts that can potentially 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; Non-Gaussian densities (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach (2020)
Working Paper: Real-time density nowcasts of US inflation: a model-combination approach (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:39:y:2023:i:4:p:1736-1760

DOI: 10.1016/j.ijforecast.2022.04.007

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