Density forecast combinations are becoming increasingly popular as a means of improving forecast ‘accuracy', as … depend on the variable one is trying to forecast. Specific attention is paid to the use of piecewise linear weight functions …

Density forecast combinations are becoming increasingly popular as a means of improving forecast 'accuracy', as … depend on the variable one is trying to forecast. Specific attention is paid to the use of piecewise linear weight functions …

detrending filters. The resulting ensemble produces well-calibrated forecast densities for US inflation in real time, in contrast …

performs well across the real-time data sets, consistently giving well-calibrated forecast densities. The equal-weight strategy … generates poorly-calibrated forecast densities for the US and Australian samples. There is little difference between the two …