arXiv 26 Oct 2021 · Econometrics · publishedJournal of Forecasting (2024)
arXiv:2110.13761 · PDF · DOI · OpenAlex · Extracted main text
We propose an approach for generating macroeconomic density forecasts that incorporate information on multiple scenarios defined by experts. We adopt a regime-switching framework in which sets of scenarios ("views") are used as Bayesian priors on economic regimes. Predictive densities coming from different views are then combined by optimizing objective functions of density forecasting. We illustrate the approach with an empirical application to quarterly real-time forecasts of U.S. GDP growth, in which we exploit the Fed's macroeconomic scenarios used for bank stress tests. We show that the approach achieves good accuracy in terms of average predictive scores and good calibration of forecast distributions. Moreover, it can be used to evaluate the contribution of economists' scenarios to density forecast performance.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Gneiting, T. and Ranjan, R (2010) Combining Probability Forecasts | 0.874 | 5 | 2 | 100% |
| 2 | Gneiting, T. and Ranjan, R (2013) Combining predictive distributions | 0.874 | 5 | 2 | 100% |
| 3 | Frühwirth-Schnatter, S (2006) Finite Mixture and Markov Switching Models | 0.754 | 7 | 3 | 43% |
| 4 | Rossi, B. and Sekhposyan, T (2014) Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set | 0.737 | 3 | 2 | 100% |
| 5 | Bauwens, L., Carpantier, J., and Dufays, A (2017) Autoregressive Moving Average Infinite Hidden Markov-Switching Models | 0.737 | 3 | 2 | 100% |
| 6 | Ganics, G (2017) Optimal Density Forecast Combinations, Working papers n | 0.737 | 3 | 2 | 100% |
| 7 | Garratt, A., Henckel, T., and Vahey, S.P (2023) Empirically-transformed linear opinion pools | 0.737 | 3 | 2 | 100% |
| 8 | Hamilton, J (2016) Macroeconomic Regimes and Regime Shifts, in J.B | 0.737 | 3 | 2 | 100% |
| 9 | Acemoglu, D., Ozdaglar, A., and Tahbaz-Salehi, A (2017) Microeconomic Origins of Macroeconomic Tail Risks | 0.644 | 2 | 2 | 100% |
| 10 | Alessandri, P. and Mumtaz, H (2017) Financial conditions and density forecasts for US output and inflation | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 44 scored citations.