Search Results
Working Paper
Combining Survey Long-Run Forecasts and Nowcasts with BVAR Forecasts Using Relative Entropy
This paper constructs hybrid forecasts that combine both short- and long-term conditioning information from external surveys with forecasts from a standard fixed-coefficient vector autoregression (VAR) model. Specifically, we use relative entropy to tilt one-step ahead and long-horizon VAR forecasts to match the nowcast and long-horizon forecast from the Survey of Professional Forecasters. The results indicate meaningful gains in multi-horizon forecast accuracy relative to model forecasts that do not incorporate long-term survey conditions. The accuracy gains are achieved for a range of ...
Speech
The advantages of probabilistic survey questions: remarks at the IT Forum and RCEA Bayesian Workshop, keynote address, Rimini, Italy, May 2016
Remarks at the IT Forum and RCEA Bayesian Workshop Keynote Address, Rimini, Italy.