Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210225
Authors: 
Aastveit, Knut Are
Gerdrup, Karsten R.
Jore, Anne Sofie
Year of Publication: 
2011
Series/Report no.: 
Staff Memo No. 09/2011
Publisher: 
Norges Bank, Oslo
Abstract: 
In this paper we describe Norges Bank's system for averaging models (SAM) which produces model-based density forecasts for Norwegian Mainland GDP and inflation. We combine the forecasts from three main types of models typically used at central banks: Vector autoregressive models, leading indicator models and factor models. By combining models we hedge against uncertain instabilities. We update SAM several times during the quarter to highlight the importance of new data releases, and we show how the performance of SAM improves steadily as new information arrives. The framework is robust with regard to alternative vintages of data to evaluate against. We show that our chosen weighting scheme is superior or on a par with some common alternative weighting schemes, and, finally, that a strategy of trying to pick the best model, ex ante, is inferior to model combination.
Subjects: 
density combination
forecast densities
forecast evaluation
monetary policy
nowcasting
real-time data
JEL: 
C32
C52
C53
E37
E52
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-617-2
Creative Commons License: 
http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Research Report
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.