Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/209951
Authors: 
Bjørnland, Hilde C.
Gerdrup, Karsten R.
Smith, Christie
Jore, Anne Sofie
Thorsrud, Leif Anders
Year of Publication: 
2010
Series/Report no.: 
Working Paper No. 2010/06
Publisher: 
Norges Bank, Oslo
Abstract: 
We apply a suite of models to produce quasi-real-time density forecasts of Norwegian GDP and inflation, and evaluate different combination and selection methods using the Kullback-Leibler information criterion (KLIC). We use linear and logarithmic opinion pools in conjunction with various weighting schemes, and we compare these combinations to two different selection methods. In our application, logarithmic opinion pools were better than linear opinion pools, and score-based weights were generally superior to other weighting schemes. Model selection generally yielded poor density forecasts, as evaluated by KLIC.
Subjects: 
KLIC
Kullback-Leibler information criterion
model combination
evaluation
density forecasting
JEL: 
C32
C52
C53
E52
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-552-6
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Working Paper
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