Weights and Pools for a Norwegian Density Combination

27 Pages Posted: 9 Jul 2010

See all articles by Karsten R. Gerdrup

Karsten R. Gerdrup

Central Bank of Norway

Christie Smith

Government of New Zealand - Department of Economics

Anne Sofie Jore

Norges Bank

Leif Anders Thorsrud

Norges Bank; BI Norwegian Business School

Hilde C. Bjørnland

Norwegian School of Management (BI); Norges Bank

Date Written: May 19, 2010

Abstract

We apply a suite of models to produce quasi-real-time density forecasts of Norwegian GDP and inflation, and evaluate different combination and selection methods using the Kullback-Leibler information criterion (KLIC). We use linear and logarithmic opinion pools in conjunction with various weighting schemes, and we compare these combinations to two different selection methods. In our application, logarithmic opinion pools were better than linear opinion pools, and score-based weights were generally superior to other weighting schemes. Model selection generally yielded poor density forecasts, as evaluated by KLIC.

Keywords: Model Combination, Evaluation, Density Forecasting, KLIC

JEL Classification: C32, C52, C53, E52

Suggested Citation

Gerdrup, Karsten R. and Smith, Christie and Jore, Anne Sofie and Thorsrud, Leif Anders and Bjørnland, Hilde C., Weights and Pools for a Norwegian Density Combination (May 19, 2010). Norges Bank Working Paper No. 2010/06. Available at SSRN: https://ssrn.com/abstract=1636718 or http://dx.doi.org/10.2139/ssrn.1636718

Karsten R. Gerdrup

Central Bank of Norway ( email )

P.O. Box 1179
Oslo, N-0107
Norway

Christie Smith

Government of New Zealand - Department of Economics ( email )

2 The Terrace
P.O. Box 2498
Wellington
New Zealand

Anne Sofie Jore

Norges Bank ( email )

P.O. Box 1179
Oslo, N-0107
Norway

Leif Anders Thorsrud

Norges Bank ( email )

P.O. Box 1179
Oslo, N-0107
Norway

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

Hilde C. Bjørnland (Contact Author)

Norwegian School of Management (BI) ( email )

P.O. Box 580
N-1302 Sandvika
Norway

Norges Bank ( email )

P.O. Box 1179
Oslo, N-0107
Norway

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