Garratt, Anthony, Koop, Gary, Mise, Emi and Vahey, Shaun P. (2009) Real-time prediction with U.K. monetary aggregates in the presence of model uncertainty. Journal of Business & Economic Statistics , Volume 27 (Number 4). pp. 480-491. doi:10.1198/jbes.2009.07208 ISSN 0735-0015.

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Abstract

We examine the effectiveness of recursive-weight and equal-weight combination strategies for forecasting using many time-varying models of the relationship between inflation and the output gap. The forecast densities for inflation reflect the uncertainty across models using many statistical measures of the output gap, and allow for time-variation in the ensemble Phillips curves. Using real-time data for the US, Australia, New Zealand and Norway, we find that the recursive-weight strategy performs well, consistently giving well-calibrated forecast densities. The equal-weight strategy generates poorly-calibrated forecast densities for the US and Australian samples. There is little difference between the two strategies for our New Zealand and Norwegian data. We also find that the ensemble modelling approach performs more consistently with real-time data than with revised data in all four countries.

Item Type:	Journal Article
Divisions:	Faculty of Social Sciences > Warwick Business School > Global Energy Faculty of Social Sciences > Warwick Business School
Journal or Publication Title:	Journal of Business & Economic Statistics
Publisher:	Routledge
ISSN:	0735-0015
Official Date:	2009
Dates:	Date Event 2009 Published
Volume:	Volume 27
Number:	Number 4
Page Range:	pp. 480-491
DOI:	10.1198/jbes.2009.07208
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access

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