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Combined Density Nowcasting in an uncertain economic environment
Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - Norges Bank - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10011124200
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Combined Density Nowcasting in an Uncertain Economic Environment
Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - Tinbergen Instituut - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10011272583
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Identification and real-time forecasting of Norwegian business cycles
Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco - Norges Bank - 2015
-of-sample forecasting exercise, focusing on the last recession, we show that univariate Markov-switching models applied to surveys and a …
Persistent link: https://www.econbiz.de/10011277154
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Combined Density Nowcasting in an Uncertain Economic Environment
Aastveit, Knut Are; Ravazzolo, Francesco; van Dijk, … - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10010491381
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Forecasting Recessions in Real Time
Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco - 2014
provides the most reasonable definition of business cycles. The forecasting exercise, where the models are augmented with …
Persistent link: https://www.econbiz.de/10012143840
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Combined Density Nowcasting in an Uncertain Economic Environment
Aastveit, Knut Are; Ravazzolo, Francesco; van Dijk, … - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10012143855
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Identification and Real-Time Forecasting of Norwegian Business Cycles
Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco - 2015
-of-sample forecasting exercise, focusing on the last recession, we show that univariate Markov-switching models applied to surveys and a …
Persistent link: https://www.econbiz.de/10012143865
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Forecasting recessions in real time
Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco - Norges Bank - 2014
provides the most reasonable definition of business cycles. The forecasting exercise, where the models are augmented with …
Persistent link: https://www.econbiz.de/10010835410
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Combined density nowcasting in an uncertain economic environment
Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10010465155
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Macro modelling with many models
Bache, Ida Wolden; Mitchell, James; Ravazzolo, Francesco; … - Norges Bank - 2009
from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about model … provide two examples of this modelling strategy: (i) forecasting inflation with a disaggregate ensemble; and (ii) forecasting …
Persistent link: https://www.econbiz.de/10004976646