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Density Forecast Combination

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  • Dr. James Mitchell
Abstract
In this paper we investigate whether and how far density forecasts sensibly can be combined to produce a 'better' pooled density forecast. In so doing we bring together two important but hitherto largely unrelated areas of the forecasting literature in economics, density forecasting and forecast combination. We provide simple Bayesian methods of pooling information across alternative density forecasts. We illustrate the proposed techniques in an application to two widely used published density forecasts for U.K. inflation. We examine whether in practice improved density forecasts for inflation, one year ahead, might have been obtained if one had combined the Bank of England and NIESR density forecasts or 'fan charts'.

Suggested Citation

  • Dr. James Mitchell, 2004. "Density Forecast Combination," National Institute of Economic and Social Research (NIESR) Discussion Papers 249, National Institute of Economic and Social Research.
    • Handle: RePEc:nsr:niesrd:249
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    Cited by:

    1. Mr. Emil Stavrev, 2006. "Measures of Underlying Inflation in the Euro Area: Assessment and Role for Informing Monetary Policy," IMF Working Papers 2006/197, International Monetary Fund.
    2. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
    3. Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009. "Measuring Output Gap Uncertainty," Birkbeck Working Papers in Economics and Finance 0909, Birkbeck, Department of Economics, Mathematics & Statistics.
    4. Emil Stavrev, 2010. "Measures of underlying inflation in the euro area: assessment and role for informing monetary policy," Empirical Economics, Springer, vol. 38(1), pages 217-239, February.

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