Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts
展示了熵倾斜是一种灵活且强大的工具，用于将BVAR的中期预测与来自调查或其他模型的短期即时预测相结合，系统性地提高了点预测和密度预测的准确性。
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.