Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts
نویسندگان
چکیده
منابع مشابه
Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts∗
This paper shows entropic tilting to be a flexible and powerful tool for combining mediumterm forecasts from BVARs with short-term forecasts from other sources (nowcasts from either surveys or other models). Tilting systematically improves the accuracy of both point and density forecasts, and tilting the BVAR forecasts based on nowcast means and variances yields slightly greater gains in densit...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2017
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2015.1087856