Does Forecast Combination Improve Norges Bank Inflation Forecasts?
开发了一个基于模型的挪威通胀预测系统，通过递归评估1999-2009年大量模型的准样本外预测，用加权平均组合预测，发现组合预测优于单个模型和挪威央行自身预测，且需一定程度的修剪。
Abstract We develop a system that provides model‐based forecasts for inflation in Norway. We recursively evaluate quasi out‐of‐sample forecasts from a large suite of models from 1999 to 2009. The performance of the models are then used to derive quasi real time weights that are used to combine the forecasts. Our results indicate that a combination forecast improves upon the point forecasts from individual models. Furthermore, a combination forecast outperforms Norges Bank's own point forecast for inflation. The beneficial results are obtained using a trimmed weighted average. Some degree of trimming is required for the combination forecasts to outperform the judgmental forecasts from the policymaker.