메뉴 건너뛰기




Volumn 23, Issue 1, 2007, Pages 1-13

Combining density forecasts

Author keywords

Combining forecasts; Density forecasts; Evaluating forecasts; Inflation forecasting; Uncertainty

Indexed keywords


EID: 33847050189     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2006.08.001     Document Type: Article
Times cited : (225)

References (50)
  • 1
    • 0242474625 scopus 로고    scopus 로고
    • Testing parametric conditional distributions of dynamic models
    • Bai J. Testing parametric conditional distributions of dynamic models. Review of Economics and Statistics 85 (2003) 531-549
    • (2003) Review of Economics and Statistics , vol.85 , pp. 531-549
    • Bai, J.1
  • 4
    • 0035636851 scopus 로고    scopus 로고
    • Testing density forecasts, with applications to risk management
    • Berkowitz J. Testing density forecasts, with applications to risk management. Journal of Business and Economic Statistics 19 (2001) 465-474
    • (2001) Journal of Business and Economic Statistics , vol.19 , pp. 465-474
    • Berkowitz, J.1
  • 5
    • 0012202522 scopus 로고    scopus 로고
    • Forecast error bounds by stochastic simulation
    • Blake A. Forecast error bounds by stochastic simulation. National Institute Economic Review 156 (1996) 72-79
    • (1996) National Institute Economic Review , vol.156 , pp. 72-79
    • Blake, A.1
  • 7
    • 0032839653 scopus 로고    scopus 로고
    • Combining probability distributions from experts in risk analysis
    • Clemen R., and Winkler R. Combining probability distributions from experts in risk analysis. Risk Analysis 19 (1999) 187-203
    • (1999) Risk Analysis , vol.19 , pp. 187-203
    • Clemen, R.1    Winkler, R.2
  • 8
    • 0037250455 scopus 로고    scopus 로고
    • Editorial: Some possible directions for future research
    • Clements M.P. Editorial: Some possible directions for future research. International Journal of Forecasting 19 (2003) 1-3
    • (2003) International Journal of Forecasting , vol.19 , pp. 1-3
    • Clements, M.P.1
  • 9
    • 6344265534 scopus 로고    scopus 로고
    • Evaluating the Bank of England density forecasts of inflation
    • Clements M.P. Evaluating the Bank of England density forecasts of inflation. Economic Journal 114 (2004) 844-866
    • (2004) Economic Journal , vol.114 , pp. 844-866
    • Clements, M.P.1
  • 10
    • 33645466942 scopus 로고    scopus 로고
    • Evaluating the Survey of Professional Forecasters probability distributions of expected inflation based on derived event probability forecasts
    • Clements M.P. Evaluating the Survey of Professional Forecasters probability distributions of expected inflation based on derived event probability forecasts. Empirical Economics 31 (2006) 49-64
    • (2006) Empirical Economics , vol.31 , pp. 49-64
    • Clements, M.P.1
  • 11
    • 0000154686 scopus 로고    scopus 로고
    • Evaluating the forecast densities of linear and non-linear models: Applications to output growth and unemployment
    • Clements M.P., and Smith J. Evaluating the forecast densities of linear and non-linear models: Applications to output growth and unemployment. Journal of Forecasting 19 (2000) 255-276
    • (2000) Journal of Forecasting , vol.19 , pp. 255-276
    • Clements, M.P.1    Smith, J.2
  • 12
    • 33745882987 scopus 로고    scopus 로고
    • Bootstrap conditional distribution tests in the presence of dynamic misspecification
    • Corradi V., and Swanson N.R. Bootstrap conditional distribution tests in the presence of dynamic misspecification. Journal of Econometrics 133 (2006) 779-806
    • (2006) Journal of Econometrics , vol.133 , pp. 779-806
    • Corradi, V.1    Swanson, N.R.2
  • 13
    • 67649342374 scopus 로고    scopus 로고
    • Predictive density evaluation
    • Elliott G., Granger C.W.J., and Timmermann A. (Eds), North-Holland, North Holland
    • Corradi V., and Swanson N.R. Predictive density evaluation. In: Elliott G., Granger C.W.J., and Timmermann A. (Eds). Handbook of economic forecasting (2006), North-Holland, North Holland 197-284
    • (2006) Handbook of economic forecasting , pp. 197-284
    • Corradi, V.1    Swanson, N.R.2
  • 14
    • 33747888495 scopus 로고    scopus 로고
    • Predictive density and conditional confidence interval accuracy tests
    • Corradi V., and Swanson N.R. Predictive density and conditional confidence interval accuracy tests. Journal of Econometrics 135 (2006) 187-228
    • (2006) Journal of Econometrics , vol.135 , pp. 187-228
    • Corradi, V.1    Swanson, N.R.2
  • 15
    • 33847020914 scopus 로고    scopus 로고
    • Corradi, V., & Swanson, N. R. (in press). Nonparametric bootstrap procedures for predictive inference based on recursive estimation schemes. International Economic Review.
  • 16
    • 0347623647 scopus 로고    scopus 로고
    • Evaluating density forecasts with application to financial risk management
    • Diebold F.X., Gunther A., and Tay K. Evaluating density forecasts with application to financial risk management. International Economic Review 39 (1998) 863-883
    • (1998) International Economic Review , vol.39 , pp. 863-883
    • Diebold, F.X.1    Gunther, A.2    Tay, K.3
  • 20
    • 4344706161 scopus 로고    scopus 로고
    • Comparing dynamic equilibrium economies to data: A Bayesian approach
    • Fernandez-Villaverde J., and Rubio-Ramirez J. Comparing dynamic equilibrium economies to data: A Bayesian approach. Journal of Econometrics 123 (2004) 153-187
    • (2004) Journal of Econometrics , vol.123 , pp. 153-187
    • Fernandez-Villaverde, J.1    Rubio-Ramirez, J.2
  • 22
    • 84972539429 scopus 로고
    • Combining probability distributions: A critique and an annotated bibliography
    • Genest C., and Zidek J. Combining probability distributions: A critique and an annotated bibliography. Statistical Science 1 (1986) 114-135
    • (1986) Statistical Science , vol.1 , pp. 114-135
    • Genest, C.1    Zidek, J.2
  • 23
    • 33847014250 scopus 로고    scopus 로고
    • Comparing density forecasts via weighted likelihood ratio tests: Asymptotic and bootstrap methods
    • Giacomini R. Comparing density forecasts via weighted likelihood ratio tests: Asymptotic and bootstrap methods. UCSD discussion paper Vol. 2002-12 (2002)
    • (2002) UCSD discussion paper , vol.2002-12
    • Giacomini, R.1
  • 26
    • 0000109477 scopus 로고    scopus 로고
    • Economic and statistical measures of forecast accuracy
    • Granger C.W.J., and Pesaran M.H. Economic and statistical measures of forecast accuracy. Journal of Forecasting 19 (2000) 537-560
    • (2000) Journal of Forecasting , vol.19 , pp. 537-560
    • Granger, C.W.J.1    Pesaran, M.H.2
  • 28
    • 38249026075 scopus 로고
    • Interval forecasting: an analysis based upon ARCH-quantile estimators
    • Granger C.W.J., White H., and Kamstra M. Interval forecasting: an analysis based upon ARCH-quantile estimators. Journal of Econometrics 40 (1989) 87-96
    • (1989) Journal of Econometrics , vol.40 , pp. 87-96
    • Granger, C.W.J.1    White, H.2    Kamstra, M.3
  • 31
    • 33847037600 scopus 로고    scopus 로고
    • Evaluation of out-of-sample probability density forecasts
    • Hong Y. Evaluation of out-of-sample probability density forecasts. Cornell University discussion paper (2002)
    • (2002) Cornell University discussion paper
    • Hong, Y.1
  • 32
    • 7444234985 scopus 로고    scopus 로고
    • Out-of-sample performance of discrete-time spot interest rate models
    • Hong Y., Li H., and Zhao F. Out-of-sample performance of discrete-time spot interest rate models. Journal of Business and Economic Statistics 22 (2004) 457-473
    • (2004) Journal of Business and Economic Statistics , vol.22 , pp. 457-473
    • Hong, Y.1    Li, H.2    Zhao, F.3
  • 33
    • 33745975827 scopus 로고    scopus 로고
    • A consistent bootstrap test for conditional density functions with time-dependent data
    • Li F., and Tkacz G. A consistent bootstrap test for conditional density functions with time-dependent data. Journal of Econometrics 127 (2006) 863-886
    • (2006) Journal of Econometrics , vol.127 , pp. 863-886
    • Li, F.1    Tkacz, G.2
  • 34
    • 84992810904 scopus 로고    scopus 로고
    • The National Institute density forecasts of inflation
    • Mitchell J. The National Institute density forecasts of inflation. National Institute Economic Review 193 (2005) 60-69
    • (2005) National Institute Economic Review , vol.193 , pp. 60-69
    • Mitchell, J.1
  • 35
    • 29144504385 scopus 로고    scopus 로고
    • Evaluating, comparing and combining density forecasts using the KLIC with an application to the Bank of England and NIESR "fan" charts of inflation
    • Mitchell J., and Hall S.G. Evaluating, comparing and combining density forecasts using the KLIC with an application to the Bank of England and NIESR "fan" charts of inflation. Oxford Bulletin of Economics and Statistics 67 (2005) 995-1033
    • (2005) Oxford Bulletin of Economics and Statistics , vol.67 , pp. 995-1033
    • Mitchell, J.1    Hall, S.G.2
  • 36
    • 0005935618 scopus 로고
    • Decision analysis expert use
    • Morris P. Decision analysis expert use. Management Science 20 (1974) 1233-1241
    • (1974) Management Science , vol.20 , pp. 1233-1241
    • Morris, P.1
  • 37
    • 0017466072 scopus 로고
    • Combining expert judgments: A Bayesian approach
    • Morris P. Combining expert judgments: A Bayesian approach. Management Science 23 (1977) 679-693
    • (1977) Management Science , vol.23 , pp. 679-693
    • Morris, P.1
  • 38
    • 0344514767 scopus 로고    scopus 로고
    • An evaluation of tests of distributional forecasts
    • Noceti P., Smith J., and Hodges S. An evaluation of tests of distributional forecasts. Journal of Forecasting 22 (2003) 447-455
    • (2003) Journal of Forecasting , vol.22 , pp. 447-455
    • Noceti, P.1    Smith, J.2    Hodges, S.3
  • 42
    • 4744365124 scopus 로고    scopus 로고
    • Combination forecasts of output growth in a seven-country data set
    • Stock J., and Watson M. Combination forecasts of output growth in a seven-country data set. Journal of Forecasting 23 (2004) 405-430
    • (2004) Journal of Forecasting , vol.23 , pp. 405-430
    • Stock, J.1    Watson, M.2
  • 44
    • 0000646447 scopus 로고
    • Likelihood ratio tests for model selection and non-nested hypotheses
    • Vuong Q. Likelihood ratio tests for model selection and non-nested hypotheses. Econometrica 57 (1989) 257-306
    • (1989) Econometrica , vol.57 , pp. 257-306
    • Vuong, Q.1
  • 45
    • 0002468390 scopus 로고
    • Macroeconomic forecasting: A survey
    • Wallis K.F. Macroeconomic forecasting: A survey. Economic Journal 99 (1989) 28-61
    • (1989) Economic Journal , vol.99 , pp. 28-61
    • Wallis, K.F.1
  • 46
    • 84992777457 scopus 로고    scopus 로고
    • An assessment of Bank of England and National Institute inflation forecast uncertainties
    • Wallis K.F. An assessment of Bank of England and National Institute inflation forecast uncertainties. National Institute Economic Review 189 (2004) 64-71
    • (2004) National Institute Economic Review , vol.189 , pp. 64-71
    • Wallis, K.F.1
  • 47
    • 29144494483 scopus 로고    scopus 로고
    • Combining density and interval forecasts: A modest proposal
    • Wallis K.F. Combining density and interval forecasts: A modest proposal. Oxford Bulletin of Economics and Statistics 67 (2005) 983-994
    • (2005) Oxford Bulletin of Economics and Statistics , vol.67 , pp. 983-994
    • Wallis, K.F.1
  • 48
    • 0002644952 scopus 로고
    • Maximum likelihood estimation of misspecified models
    • White H. Maximum likelihood estimation of misspecified models. Econometrica 50 (1982) 1-25
    • (1982) Econometrica , vol.50 , pp. 1-25
    • White, H.1
  • 49
    • 0000849261 scopus 로고
    • Combining probability distributions from dependent information sources
    • Winkler R. Combining probability distributions from dependent information sources. Management Science 27 (1981) 479-488
    • (1981) Management Science , vol.27 , pp. 479-488
    • Winkler, R.1
  • 50
    • 84934562816 scopus 로고
    • Consensus and uncertainty in economic prediction
    • Zarnowitz V., and Lambros L. Consensus and uncertainty in economic prediction. Journal of Political Economy 95 (1987) 591-621
    • (1987) Journal of Political Economy , vol.95 , pp. 591-621
    • Zarnowitz, V.1    Lambros, L.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.