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Forecast densities for economic aggregates from disaggregate ensembles
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Ravazzolo, Francesco and Vahey, Shaun P. (2014) Forecast densities for economic aggregates from disaggregate ensembles. Studies in Nonlinear Dynamics and Econometrics, Volume 18 (Number 4). pp. 367-381. doi:10.1515/snde-2012-0088 ISSN 1558-3708.
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Official URL: http://dx.doi.org/10.1515/snde-2012-0088
Abstract
We extend the “bottom up” approach for forecasting economic aggregates with disaggregates to probability forecasting. Our methodology utilises a linear opinion pool to combine the forecast densities from many disaggregate forecasting specifications, using weights based on the continuous ranked probability score. We also adopt a post-processing step prior to forecast combination. These methods are adapted from the meteorology literature. In our application, we use our approach to forecast US Personal Consumption Expenditure inflation from 1990q1 to 2009q4. Our ensemble combining the evidence from 16 disaggregate PCE series outperforms an integrated moving average specification for aggregate inflation in terms of density forecasting.
| Item Type: | Journal Article | ||||||
|---|---|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Warwick Business School > Global Energy Faculty of Social Sciences > Warwick Business School |
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| Journal or Publication Title: | Studies in Nonlinear Dynamics and Econometrics | ||||||
| Publisher: | Berkeley Electronic Press | ||||||
| ISSN: | 1558-3708 | ||||||
| Official Date: | September 2014 | ||||||
| Dates: |
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| Volume: | Volume 18 | ||||||
| Number: | Number 4 | ||||||
| Number of Pages: | 15 | ||||||
| Page Range: | pp. 367-381 | ||||||
| DOI: | 10.1515/snde-2012-0088 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Access rights to Published version: | Restricted or Subscription Access |
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