Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/209931 
Year of Publication: 
2009
Series/Report no.: 
Working Paper No. 2009/15
Publisher: 
Norges Bank, Oslo
Abstract: 
We argue that the next generation of macro modellers at Inflation Targeting central banks should adapt a methodology from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about model specifications (e.g., initial conditions, parameters, and boundary conditions) is explicitly accounted for by constructing ensemble predictive densities from a large number of component models. The components allow the modeller to explore a wide range of uncertainties; and the resulting ensemble `integrates out' these uncertainties using time-varying weights on the components. We provide two examples of this modelling strategy: (i) forecasting inflation with a disaggregate ensemble; and (ii) forecasting inflation with an ensemble DSGE.
Subjects: 
DSGE models
ensemble modelling
forecasting
density combination
JEL: 
C11
C32
C53
E37
E52
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-513-7
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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