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

41 Pages Posted: 9 Jan 2011  

Monica Billio

Ca Foscari University of Venice - Dipartimento di Economia

Roberto Casarin

University Ca' Foscari of Venice - Department of Economics

Francesco Ravazzolo

Free University of Bolzano

H. K. van Dijk

Tinbergen Institute; Econometric Institute

Date Written: December 20, 2010

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.

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

JEL Classification: C11, C15, C53, E37

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: https://ssrn.com/abstract=1735421 or http://dx.doi.org/10.2139/ssrn.1735421

Monica Billio

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy

HOME PAGE: http://www.unive.it/persone/billio

Roberto Casarin

University Ca' Foscari of Venice - Department of Economics ( email )

San Giobbe 873/b
Venice, 30121
Italy
+39 030.298.91.49 (Phone)
+39 030.298.88.37 (Fax)

HOME PAGE: http://venus.unive.it/r.casarin/

Francesco Ravazzolo (Contact Author)

Free University of Bolzano ( email )

Bolzano
Italy

Herman K. Van Dijk

Econometric Institute ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 4088955 (Phone)
+31 10 4527746 (Fax)

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/

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