Title(题名):  Using Entropic Tilting to Combine RVAR Forecasts With External Nowcasts
Authors(作者):  Fabian Krüger, Todd E. Clark, and Francesco Ravazzolo
Source title(刊名):  Journal of Business &Economic Statistics:A Publication of the American Statistical Association
Volume, Issue, Issue date
Pages(页码):  p470-485
ISSN:  0735-0015
Abstract(摘要):  This article shows entropic tilting to be a flexible and powerful tool for combining medium-term forecasts from BVARs with short-term forecasts from other sources (nowcasts from either surveys or other models). Tilting systematically improves the accuracy of both point and density forecasts, and tilting the BVAR forecasts based on nowcast means and variances yields slightly greater gains in density accuracy than does just tilting based on the nowcast means. Hence, entropic tilting can offer-more so for persistent variables than not-persistent variables-some benefits for accurately estimating the uncertainty of multi-step forecasts that incorporate nowcast information.
Key words(关键词):  Bayesian analysis; Forecasting; Prediction.
Where(馆藏地):  304外文报刊阅览室
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