Generalised Density Forecast Combinations

41 Pages Posted: 5 Apr 2014

See all articles by Nicholas Fawcett

Nicholas Fawcett

Bank of England

George Kapetanios

King's College, London

James Mitchell

Federal Reserve Banks - Federal Reserve Bank of Cleveland

Simon Price

Essex Business School; City University London - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: March 28, 2014

Abstract

Density forecast combinations are becoming increasingly popular as a means of improving forecast ‘accuracy’, as measured by a scoring rule. In this paper we generalise this literature by letting the combination weights follow more general schemes. Sieve estimation is used to optimise the score of the generalised density combination where the combination weights depend on the variable one is trying to forecast. Specific attention is paid to the use of piecewise linear weight functions that let the weights vary by region of the density. We analyse these schemes theoretically, in Monte Carlo experiments and in an empirical study. Our results show that the generalised combinations outperform their linear counterparts.

Keywords: Density Forecasting, Model Combination, Scoring Rules

JEL Classification: C53

Suggested Citation

Fawcett, Nicholas and Kapetanios, George and Mitchell, James and Price, Simon G., Generalised Density Forecast Combinations (March 28, 2014). Bank of England Working Paper No. 492, Available at SSRN: https://ssrn.com/abstract=2420423 or http://dx.doi.org/10.2139/ssrn.2420423

Nicholas Fawcett

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

George Kapetanios

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

James Mitchell

Federal Reserve Banks - Federal Reserve Bank of Cleveland ( email )

East 6th & Superior
Cleveland, OH 44101-1387
United States

HOME PAGE: http://https://www.clevelandfed.org/en/our-research/economists/james-mitchell.aspx

Simon G. Price (Contact Author)

Essex Business School ( email )

Wivenhoe Park
Colchester, CO4 3SQ
United Kingdom

City University London - Department of Economics ( email )

Northampton Square
London, EC1V 0HB
United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
53
Abstract Views
653
rank
357,986
PlumX Metrics