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Evaluating Ensemble Density Combination - Forecasting GDP and Inflation

Gerdrup, Karsten R.; Jore, Anne Sofie; Smith, Christie; … - 2009

Forecast combination has become popular in central banks as a means to improve forecasts and to alleviate the risk of selecting poor models. However, if a model suite is populated with many similar models, then the weight attached to other independent models may be lower than warranted by their...

Persistent link: https://www.econbiz.de/10012143724

Weights and Pools for a Norwegian Density Combination

Bjørnland, Hilde C.; Gerdrup, Karsten R.; Smith, Christie - 2010

We apply a suite of models to produce quasi-real-time density forecasts of Norwegian GDP and inflation, and evaluate different combination and selection methods using the Kullback-Leibler information criterion (KLIC). We use linear and logarithmic opinion pools in conjunction with various...

Persistent link: https://www.econbiz.de/10012143740

Nowcasting GDP in Real-Time: A Density Combination Approach

Aastveit, Knut Are; Gerdrup, Karsten R.; Jore, Anne Sofie; … - 2011

In this paper we use U.S. real-time vintage data and produce combined density nowcasts for quarterly GDP growth from a system of three commonly used model classes. The density nowcasts are combined in two steps. First, a wide selection of individual models within each model class are combined...

Persistent link: https://www.econbiz.de/10012143776

The World Is Not Enough! Small Open Economies and Regional Dependence

Aastveit, Knut Are; Bjørnland, Hilde C.; Thorsrud, … - 2011

block FAVAR model with separate world, regional and domestic blocks and study the transmission of both global and regional … major share of the variance in all countries, most so shocks that are common to the world. However, regional shocks also …, the world is not enough. The regional factors impact the four countries differently, though, some through trade and some …

Persistent link: https://www.econbiz.de/10012143781

What Drives Oil Prices? Emerging Versus Developed Economies

Aastveit, Knut Are; Bjørnland, Hilde C.; Thorsrud, … - 2012

We analyze the importance of demand from emerging and developed economies as drivers of the real price of oil over the last two decades. Using a factor-augmented vector autoregressive (FAVAR) model that allows us to distinguish between different groups of countries, we find that demand from...

Persistent link: https://www.econbiz.de/10012143799

Boom or Gloom? Examining the Dutch Disease in Two-Speed Economies

Bjørnland, Hilde C.; Thorsrud, Leif Anders - 2014

Traditional studies of the Dutch disease do not account for productivity spillovers between the booming resource sector and other domestic sectors. We put forward a simple theory model that allows for such spillovers. We then identify and quantify these spillovers using a Bayesian Dynamic Factor...

Persistent link: https://www.econbiz.de/10012143850

Nowcasting Using News Topics. Big Data Versus Big Bank

Thorsrud, Leif Anders - 2016

The agents in the economy use a plethora of high frequency information, including news media, to guide their actions and thereby shape aggregate economic fluctuations. Traditional nowcasting approches have to a relatively little degree made use of such information. In this paper, I show how...

Persistent link: https://www.econbiz.de/10012143898

Words Are the New Numbers: A Newsy Coincident Index of Business Cycles

Thorsrud, Leif Anders - 2016

I construct a daily business cycle index based on quarterly GDP and textual information contained in a daily business newspaper. The newspaper data are decomposed into time series representing newspaper topics using a Latent Dirichlet Allocation model. The business cycle index is estimated using...

Persistent link: https://www.econbiz.de/10012143899