ensemble forecasting

Measuring Output Gap Uncertainty

JEL codes: 
C32, C53, E37
Version Date: 
Mar 2010

We propose a methodology for producing density forecasts for the output gap in real time using a large number of vector autoregessions in inflation and output gap measures. Density combination utilizes a linear mixture of experts framework to produce potentially non-Gaussian ensemble densities for the unobserved output gap.

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