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...

This paper brings together two important but hitherto largely unrelated areas of the forecasting literature, density forecasting and forecast combination. It proposes a simple data-driven approach to direct combination of density forecasts using optimal weights.

This paper proposes and analyses the Kullback-Leibler information criterion (KLIC) as a unified statistical tool to evaluate, compare and combine density forecasts. Use of the KLIC is particularly attractive, as well as operationally convenient, given its equivalence with the widely used...

At the UK Political Studies Association Conference, held at the University of Glasgow on April 10-12 1996, the British Territorial Politics Group of the Association held a panel on New Labour and Devolution. Regional Studies subsequently invited panellists to submit their papers to the Policy...

Density forecast combinations are becoming increasingly popular as a means of improving forecast `accuracy’, as measured by a scoring rule. In this paper we generalise this literature by letting the combination weights follow more general schemes. Sieve estimation is used to optimise the score...

We derive monthly and quarterly series of UK GDP for the inter-war period from a set of indicators that were constructed at the time. We proceed to illustrate how the new data can contribute to our understanding of the economic history of the UK in the 1930s and have also used the series to draw...

Over the second half of the 1990s, the surfacing of credit derivatives and collateralised debt obligations enlarged the range of instruments for transferring credit risk. Although the characteristics and purposes of the former are very similar to those of the latter, the tradability of the new...

We derive monthly and quarterly series of UK GDP for the inter-war period from a set of monthly indicators that were constructed by The Economist at the time. The monthly information is complemented with data for quarterly industrial production, allowing us to employ mixed-frequency methods to...