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On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates / Francis X. Diebold, Minchul Shin, Boyuan Zhang.
- Format:
- Book
- Author/Creator:
- Diebold, Francis X.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w29635.
- NBER working paper series no. w29635
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2022.
- Summary:
- We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even the ex post best forecaster) are outperformed by our regularized mixtures. From the Great Recession onward, the optimal regularization tends to move density forecasts' probability mass from the centers to the tails, correcting for overconfidence.
- Notes:
- Print version record
- January 2022.
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