Tony Chernis - Latest
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Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis
I show how to combine large numbers of forecasts using several approaches within the framework of a Bayesian predictive synthesis. I find techniques that choose and combine a handful of forecasts, known as global-local shrinkage priors, perform best. -
A Dynamic Factor Model for Nowcasting Canadian GDP Growth
This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data.