Working Paper

Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach


Abstract: We develop a flexible modeling framework to produce density nowcasts for US inflation at a trading-day frequency. Our framework: (1) combines individual density nowcasts from three classes of parsimonious mixed-frequency models; (2) adopts a novel flexible treatment in the use of the aggregation function; and (3) permits dynamic model averaging via the use of weights that are updated based on learning from past performance. Together these features provide density nowcasts that can accommodate non-Gaussian properties. We document the competitive properties of the nowcasts generated from our framework using high-frequency real-time data over the period 2000-2015.

Keywords: mixed-frequency models; inflation; density nowcasts; density combinations;

JEL Classification: C15; C53; E3; E37;

https://doi.org/10.26509/frbc-wp-202031

Access Documents

File(s): File format is text/html https://doi.org/10.26509/frbc-wp-202031
Description: Full Text

Authors

Bibliographic Information

Provider: Federal Reserve Bank of Cleveland

Part of Series: Working Papers

Publication Date: 2020-10-22

Number: 202031