Abstract

http://ssrn.com/abstract=1735421
 
 

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Combining Predictive Densities Using Bayesian Filtering with Applications to US Economics Data


Monica Billio


Ca Foscari University of Venice - Department of Economics

Roberto Casarin


University Ca' Foscari of Venice - Department of Economics

Francesco Ravazzolo


Norges Bank

H. K. Van Dijk


Tinbergen Institute; Econometric Institute

December 20, 2010

Norges Bank Working Paper No. 2010/29

Abstract:     
Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach the model set can be incomplete. Several multivariate time-varying combination strategies are introduced. In particular, a weight dynamics driven by the past performance of the predictive densities is considered and the use of learning mechanisms. The approach is assessed using statistical and utility-based performance measures for evaluating density forecasts of US macroeconomic time series and of surveys of stock market prices.

Number of Pages in PDF File: 41

Keywords: Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

JEL Classification: C11, C15, C53, E37

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Date posted: January 9, 2011  

Suggested Citation

Billio, Monica and Casarin, Roberto and Ravazzolo, Francesco and van Dijk, H. K., Combining Predictive Densities Using Bayesian Filtering with Applications to US Economics Data (December 20, 2010). Norges Bank Working Paper No. 2010/29 . Available at SSRN: http://ssrn.com/abstract=1735421 or http://dx.doi.org/10.2139/ssrn.1735421

Contact Information

Monica Billio
Ca Foscari University of Venice - Department of Economics ( email )
Cannaregio 873
Venice, 30121
Italy
HOME PAGE: http://venus.unive.it/billio
Roberto Casarin
University Ca' Foscari of Venice - Department of Economics ( email )
San Giobbe 873/b
Venice, 30121
Italy
+39 030.298.88.09 (Phone)
+39 030.298.88.37 (Fax)
HOME PAGE: http://venus.unive.it/r.casarin/
Francesco Ravazzolo (Contact Author)
Norges Bank ( email )
P.O. Box 1179
Oslo, N-0107
Norway

Herman K. Van Dijk
Tinbergen Institute ( email )
Gustav Mahlerplein 117
Burg. Oudlaan 50
Amsterdam/Rotterdam, 1082 MS
Netherlands
+31104088955 (Phone)
+31104089031 (Fax)
HOME PAGE: http://people.few.eur.nl/hkvandijk/
Econometric Institute ( email )
P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 4088955 (Phone)
+31 10 4527746 (Fax)
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