Predictivistic Bayesian Forecasting System

Andrzej Kocięcki, Marcin Kolasa and Michał Rubaszek

No 87, NBP Working Papers from Narodowy Bank Polski

Abstract: This paper introduces a formal method of combining expert and model density forecasts when the sample of past forecasts is unavailable. It works directly with the expert forecast density and endogenously delivers weights for forecast combination, relying on probability rules only. In the empirical part, we illustrate how our framework can be applied in forecasting US inflation by mixing density forecasts from an autoregressive model and the Survey of Professional Forecasters.

Keywords: Combining density forecasts; Forecast evaluation; Bayesian inference; Predictivism (search for similar items in EconPapers)
JEL-codes: C11 C53 (search for similar items in EconPapers)
Pages: 27
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:87

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