Evaluating, Comparing and Combining Density Forecasts Using the KLIC with an Application to the Bank of England and NIESR 'Fan' Charts of Inflation

By James Mitchell, Stephen G. Hall. 2005

241 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b713ec70d329db6e509b5a916725e3b4b6ffa401

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Citations in the corpus

Combining density forecasts using focused scoring rules (2017, unknown): “A well-founded proper scoring rule is the log score function (see, Amisano & Giacomini, 2007; Mitchell & Hall, 2005, among others).”
Combining inflation density forecasts (2010, methodology): “Raftery et al. (1997) and Mitchell & Hall (2005) argue for linear combination in a Bayesian framework.”
Combining Predictive Distributions (2011, methodology): “…2007), the linear pool is typically the method of choice, with the pioneering work of Winkler (1968) and Zarnowitz (1969), and recent papers by Mitchell and Hall (2005), Wallis (2005), Hall and Mitchell (2007), Jore, Mitchell and Vahey (2010), Kascha and Ravazzolo (2010) and Garratt et al.…”
Nowcasting GDP in Real Time: A Density Combination Approach (2014, unknown): “Gneiting (2011) discussed in detail the difference between point forecasting and density forecasting, while Mitchell and Hall (2005) and Hall and Mitchell (2007) provided a justification for density combination.”
The Evolution of Forecast Density Combinations in Economics (2018, background): “Applications by Mitchell and Hall (2005) and Hall and Mitchell (2007) indicated that the density forecasts of inflation from the Bank of England (as published in their fan charts) and the National Institute of Economic and Social Research in the UK could be improved if combined in real-time with…”
Evaluating the Calibration of Multi-Step-Ahead Density Forecasts Using Raw Moments (2015, methodology): “Finally, in several applications like those by Clements (2004), Mitchell and Hall (2005), Jore, Mitchell, and Vahey (2010), Bache et al. (2011), and Aastveit et al. (2011) one finds a variant of the test by Berkowitz (2001) adapted to the case of serially correlated INTs.”
Combining forecast densities from VARs with uncertain instabilities (2010, background): “See for example, Morris (1974), Morris (1977) and Winkler (1981), Lindley (1983) and McConway (1990).”
Likelihood-based scoring rules for comparing density forecasts in tails (2011, methodology): “This problem of relative predictive accuracy has been considered by Sarno and Valente (2004); Mitchell and Hall (2005); Corradi and Swanson (2005, 2006b); Amisano and Giacomini (2007) and Bao et al. (2004, 2007).”
Combining forecasts – forty years later (2011, methodology): “If the ideal forecast is known, as in a simulation experiment, competing forecasts can be tested against it via their average logarithmic scores, using the transformed variables zt (Mitchell and Hall, 2005).”
New HEAVY Models for Fat-Tailed Realized Covariances and Returns (2017, methodology): “We use the log scoring rule (see Mitchell and Hall 2005; Amisano and Giacomini 2007) to differentiate between the density forecasts of the models.”
Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules (2011, methodology): “The Bank of England’s Monetary Policy Committee (MPS) has issued probabilistic forecasts of inflation rates and gross domestic product every quarter since February 1996 and November 1997, respectively, using fan charts to visualize the deciles of the predictive distributions (Wallis 2003, 2004; Clem”