Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/209892
Authors: 
Jore, Anne Sofie
Mitchell, James
Vahey, Shaun P.
Year of Publication: 
2008
Series/Report no.: 
Working Paper No. 2008/1
Abstract: 
Clark and McCracken (2008) argue that combining real-time point forecasts from VARs of output, prices and interest rates improves point forecast accuracy in the presence of uncertain model instabilities. In this paper, we generalize their approach to consider forecast density combinations and evaluations. Whereas Clark and McCracken (2008) show that the point forecast errors from particular equal-weight pairwise averages are typically comparable or better than benchmark univariate time series models, we show that neither approach produces accurate real-time forecast densities for recent US data. If greater weight is given to models that allow for the shifts in volatilities associated with the Great Moderation, predictive density accuracy improves substantially.
Subjects: 
VAR models
density forecasts
uncertainty
combining forecasts
evaluating forecasts
JEL: 
C32
C53
E37
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-420-8
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Working Paper
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