This chapter reviews different methods to construct density forecasts and to aggregate forecasts from many sources. Density evaluation tools to measure the accuracy of density forecasts are reviewed and calibration methods for improving the accuracy of forecasts are presented. The manuscript...

Accurate forecasts of macroeconomic variables are crucial inputs into the decisions of economic agents and policy makers. Exploiting inherent aggregation structures of such variables, we apply forecast reconciliation methods to generate forecasts that are coherent with the aggregation...