全球智库信息集成服务系统(G2TT): On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w29635
来源ID	Working Paper 29635
	On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
	Francis X. Diebold; Minchul Shin; Boyuan Zhang
发表日期	2022-01-10
出版年	2022
语种	英语
摘要	We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even the ex post best forecaster) are outperformed by our regularized mixtures. From the Great Recession onward, the optimal regularization tends to move density forecasts' probability mass from the centers to the tails, correcting for overconfidence.
主题	Econometrics ; Estimation Methods
URL	https://www.nber.org/papers/w29635
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/587308
推荐引用方式 GB/T 7714	Francis X. Diebold,Minchul Shin,Boyuan Zhang. On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates. 2022.