Does forecast combination improve Norges Bank inflation forecasts?

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

No 2009/01, Working Paper from Norges Bank

Abstract: We develop a system that provides model-based forecasts for inflation in Norway. Forecasts are recursively evaluated from 1999 to 2008. The performance of the models over this period is then used to derive weights that are used to combine the forecasts. Our results indicate that model combination improves upon the point forecasts from individual models. Furthermore, when comparing the whole forecasting period; model combination outperforms Norges Banks own point forecast for inflation at the forecast horizon up to a year. By using a suite of models we allow for a greater range of modelling techniques and data to be used in the forecasting process.

Keywords: Forecasting; forecast combination (search for similar items in EconPapers)
JEL-codes: E37 E47 E52 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2009-01-27
New Economics Papers: this item is included in nep-cba, nep-eec, nep-for, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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https://www.norges-bank.no/en/news-events/news-pub ... apers/2009/WP-20091/

Related works:
Journal Article: Does Forecast Combination Improve Norges Bank Inflation Forecasts? (2012)
Working Paper: Does forecast combination improve Norges Bank inflation forecasts? (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2009_01

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