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Evaluating, Comparing and Combining Density Forecasts Using the Klic with an Application to the Bank of England and Niesr 'Fan' Charts of Inflation
TLDR
This paper proposes and analyses the Kullback–Leibler information criterion (KLIC) as a unified statistical tool to evaluate, compare and combine density forecasts. Expand
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Combining VAR and DSGE forecast densities
A popular macroeconomic forecasting strategy utilizes many models to hedge against instabilities of unknown timing; see (among others) Stock and Watson (2004), Clark and McCracken (2010), and Jore etExpand
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Evaluating density forecasts: forecast combinations, model mixtures, calibration and sharpness
TLDR
This paper reviews current density forecast evaluation procedures, in the light of Gneiting et al. Expand
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Combining forecast densities from VARs with uncertain instabilities
Recursive-weight forecast combination is often found to an ineffective method of improving point forecast accuracy in the presence of uncertain instabilities. We examine the effectiveness of thisExpand
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Monthly GDP Estimates for Inter-War Britian
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 complementedExpand
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Strategies for self-government: The campaigns for a Scottish Parliament
James Mitchell reviews the range of strategies and tactics used by different parties, groups and organisations to achieve self-government over the past ninety years and asks: how does a movement withExpand
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Communicating uncertainty about facts, numbers and science
Uncertainty is an inherent part of knowledge, and yet in an era of contested expertise, many shy away from openly communicating their uncertainty about what they know, fearful of their audience'sExpand
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An Indicator of Monthly GDP and an Early Estimate of Quarterly GDP Growth
A range of monthly series are currently available giving indications of short-term movements in output in the United Kingdom. As the only available information, these indicators are routinelyExpand
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Generalised Density Forecast Combinations
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 theExpand
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The Evolution of Forecast Density Combinations in Economics
Increasingly, professional forecasters and academic researchers present model-based and subjective or judgment-based forecasts in economics which are accompanied by some measure of uncertainty. InExpand
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