Predictivistic Bayesian Forecasting System
National Bank of Poland Working Paper No. 87
27 Pages Posted: 8 Jul 2011
Date Written: 2011
This paper introduces a formal method of combining expert and model density forecasts when the sample of past forecasts is unavailable. It works directly with the expert forecast density and endogenously delivers weights for forecast combination, relying on probability rules only. In the empirical part, we illustrate how our framework can be applied in forecasting US inflation by mixing density forecasts from an autoregressive model and the Survey of Professional Forecasters.
Keywords: Combining density forecasts, Forecast evaluation, Bayesian inference, Predictivism
JEL Classification: C11, C53
Suggested Citation: Suggested Citation