This paper brings together two important but hitherto largely unrelated areas of the forecasting literature, density forecasting and forecast combination. It proposes a simple data-driven approach to direct combination of density forecasts using optimal weights.

In this paper we investigate whether and how far density forecasts sensibly can be combined to produce a "better" pooled density forecast. In so doing we bring together two important but hitherto largely unrelated areas of the forecasting literature in economics, density forecasting and forecast...

In a recent article Gneiting, Balabdaoui and Raftery (JRSSB, 2007) propose the criterion of sharpness for the evaluation of predictive distributions or density forecasts. They motivate their proposal by an example in which standard evaluation procedures based on probability integral transforms...

This papers identifies the information content at the firm-level of qualitative business survey data by first examining the consistency between these data and the quantitative data provided by the same respondents to the UK’s ONS in official surveys. Since the qualitative data are published...

Clark and McCracken (2008) argue that combining real-time point forecasts from VARs of output, prices and interest rates improves point forecast accuracy in the presence of uncertain model instabilities. In this paper, we generalize their approach to consider forecast density combinations and...

We argue that the next generation of macro modellers at Inflation Targeting central banks should adapt a methodology from the weather forecasting literature known as `ensemble modelling\\\'. In this approach, uncertainty about model specifications (e.g., initial conditions, parameters, and...

We derive monthly and quarterly series of UK GDP for the inter-war period from a set of indicators that were constructed at the time. We proceed to illustrate how the new data can contribute to our understanding of the economic history of the UK in the 1930s and have also used the series to draw...

We propose a methodology for producing density forecasts for the output gap in real time using a large number of vector autoregessions in inflation and output gap measures. Density combination utilizes a linear mixture of experts framework to produce potentially non-Gaussian ensemble densities...

We seek to understand what can be inferred from the movement of and revisions to fixed-event density forecasts. This involves extending efficiency tests used to examine fixed-event forecasts from the point to density case. The extension requires the revision to a density forecast to be reduced...