00000nam 2200000zi 4500 9.932256 CaOODSP 20240110085712 m o d f cr mn||||||||| 240110t20232023onca ob f000 0 eng d CaOODSP eng rda CaOODSP eng eng fre e------ n-us--- FB3-5/2023-61E-PDF Chernis, Tony, author. Predictive density combination using a tree-based synthesis function / by Tony Chernis, Niko Hauzenberger, Florian Huber, Gary Koop and James Mitchell. [Ottawa] : Bank of Canada = Banque du Canada, 2023. ©2023 1 online resource (ii, 36, 19 pages) : illustrations (chiefly colour). text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2023-61 ISSN assigned to different series. "Last updated: December 28, 2023." Includes bibliographical references (pages 34-36). "Bayesian predictive synthesis (BPS) is a method of combining predictive distributions based on agent opinion analysis theory, which encompasses many common approaches to combining density forecasts. The key ingredient in BPS is a synthesis function. This is typically specified parametrically as a dynamic linear regression. In this paper, we develop a nonparametric treatment of the synthesis function using regression trees. We show the advantages of our tree-based approach in two macroeconomic forecasting applications. The first uses density forecasts for GDP growth from the euro area's Survey of Professional Forecasters. The second combines density forecasts of US inflation produced by many regression models involving different predictors. Both applications demonstrate the benefits—in terms of improved forecast accuracy and interpretability—of modeling the synthesis function nonparametrically"--Abstract, page ii. Includes abstracts in English and French. Gross domestic product European Union countries Forecasting Econometric models. Inflation (Finance) United States Forecasting Econometric models. Decision trees. Regression analysis. Produit intérieur brut Pays de l'Union européenne Prévision Modèles économétriques. Inflation États-Unis Prévision Modèles économétriques. Arbres de décision. Analyse de régression. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2023-61. (CaOODSP)9.806221 PDF 1.04 MB https://publications.gc.ca/collections/collection_2024/banque-bank-canada/FB3-5-2023-61-eng.pdf