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首页> 外文期刊>The North American journal of economics and finance >Real-time inflation forecast densities from ensemble Phillips curves
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Real-time inflation forecast densities from ensemble Phillips curves

机译：整体菲利普斯曲线的实时通胀预测密度

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We examine the effectiveness of recursive-weight and equal-weight combination strategies for forecasting using many time-varying models of the relationship between inflation and the output gap. The forecast densities for inflation reflect the uncertainty across models using many statistical measures of the output gap, and allow for time-variation in the ensemble Phillips curves. Using real-time data for the US, Australia, New Zealand and Norway, we find that the recursive-weight strategy performs well, 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 strategies for our New Zealand and Norwegian data. We also find that the ensemble modelling approach performs more consistently with real-time data than with revised data in all four countries.
机译：我们使用多种时变模型来分析通货膨胀与产出缺口之间的关系，从而检验递归权重和等权重组合策略在预测中的有效性。通货膨胀的预测密度使用许多输出缺口的统计量度反映了模型之间的不确定性，并允许整体Phillips曲线随时间变化。使用美国，澳大利亚，新西兰和挪威的实时数据，我们发现递归权重策略的效果很好，可以始终提供经过良好校准的预测密度。等权重策略为美国和澳大利亚样本生成的校准密度预测不佳。对于我们的新西兰和挪威数据，这两种策略之间几乎没有区别。我们还发现，在所有四个国家中，集成建模方法在实时数据上的表现要比在修订后的数据上更加一致。

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