On the Aggregation of Probability Assessments : Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
Francis X. Diebold, Minchul Shin, Boyuan Zhang
We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even the ex post best forecaster) are outperformed by our regularized mixtures. From the Great Recession onward, the optimal regularization tends to move density forecasts' probability mass from the centers to the tails, correcting for overconfidence
Year of publication: |
January 2022
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Authors: | Diebold, Francis X. ; Shin, Minchul ; Zhang, Boyuan |
Institutions: | National Bureau of Economic Research (issuing body) |
Publisher: |
2022: Cambridge, Mass : National Bureau of Economic Research |
Subject: | Prognoseverfahren | Forecasting model | Monte-Carlo-Simulation | Monte Carlo simulation | Inflation | Realzins | Real interest rate | Statistische Verteilung | Statistical distribution | Eurozone | Euro area | 1999-2019 |
Saved in:
Online Resource
Extent: | 1 Online-Ressource illustrations (black and white) |
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Series: | NBER working paper series ; no. w29635 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | System requirements: Adobe [Acrobat] Reader required for PDF files Mode of access: World Wide Web Hardcopy version available to institutional subscribers |
Other identifiers: | 10.3386/w29635 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012814410