Predictive density combination using a tree-based synthesis function / by Tony Chernis, Niko Hauzenberger, Florian Huber, Gary Koop and James Mitchell. : FB3-5/2023-61E-PDF
"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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.932256&sl=1
| Ministère/Organisme | Bank of Canada, issuing body. |
|---|---|
| Titre | Predictive density combination using a tree-based synthesis function / by Tony Chernis, Niko Hauzenberger, Florian Huber, Gary Koop and James Mitchell. |
| Titre de la série | Staff working paper = Document de travail du personnel, 1701-9397 ; 2023-61 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | ISSN assigned to different series. "Last updated: December 28, 2023." Includes bibliographical references (pages 34-36). Includes abstracts in English and French. |
| Information sur la publication | [Ottawa] : Bank of Canada = Banque du Canada, 2023. ©2023 |
| Auteur / Contributeur | Chernis, Tony, author. |
| Description | 1 online resource (ii, 36, 19 pages) : illustrations (chiefly colour). |
| Numéro de catalogue |
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| Descripteurs | 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. |