Business Intelligence

Weights And Pools For A Norwegian Density Combination

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Executive Summary

The authors apply a suite of models to produce quasi-real-time density forecasts of Norwegian GDP and inflation, and evaluate different combination and selection methods using the Kullback-Leibler Information Criterion (KLIC). They use linear and logarithmic opinion pools in conjunction with various weighting schemes, and they compare these combinations to two different selection methods. In the application, logarithmic opinion pools were better than linear opinion pools, and score-based weights were generally superior to other weighting schemes.

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