Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/100850
Authors: 
Robertson, John C.
Tallman, Ellis W.
Whiteman, Charles H.
Year of Publication: 
2002
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2002-22
Abstract: 
The paper describes a relative entropy procedure for imposing moment restrictions on simulated forecast distributions from a variety of models. Starting from an empirical forecast distribution for some variables of interest, the technique generates a new empirical distribution that satisfies a set of moment restrictions. The new distribution is chosen to be as close as possible to the original in the sense of minimizing the associated Kullback-Leibler Information Criterion, or relative entropy. The authors illustrate the technique by using several examples that show how restrictions from other forecasts and from economic theory may be introduced into a model's forecasts.
Subjects: 
Forecasting
Document Type: 
Working Paper

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