Tony Chernis - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T19:06:28+00:00Predictive Density Combination Using a Tree-Based Synthesis Function
https://www.bankofcanada.ca/2023/12/staff-working-paper-2023-61/
This paper studies non-parametric combinations of density forecasts. We introduce a regression tree-based approach that allows combination weights to vary on the features of the densities, time-trends or economic indicators. In two empirical applications, we show the benefits of this approach in terms of improved forecast accuracy and interpretability.2023-12-28T13:20:25+00:00enPredictive Density Combination Using a Tree-Based Synthesis Function2023-12-28Econometric and statistical methodsStaff Working Paper 2023-61https://www.bankofcanada.ca/wp-content/uploads/2023/12/swp2023-61.pdfPredictive Density Combination Using a Tree-Based Synthesis FunctionTony ChernisNiko HauzenbergerFlorian HuberGary KoopJames MitchellDecember 2023CC1C11C3C32C5C53Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis
https://www.bankofcanada.ca/2023/08/staff-working-paper-2023-45/
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.2023-08-21T11:45:16+00:00enCombining Large Numbers of Density Predictions with Bayesian Predictive Synthesis2023-08-21Econometric and statistical methodsStaff Working Paper 2023-45https://www.bankofcanada.ca/wp-content/uploads/2023/08/swp2023-45.pdfStaff Working Paper 2023-45Tony ChernisAugust 2023CC1C11C5C52C53EE3E37A Dynamic Factor Model for Nowcasting Canadian GDP Growth
https://www.bankofcanada.ca/2017/02/staff-working-paper-2017-2/
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.2017-02-02T13:04:19+00:00enA Dynamic Factor Model for Nowcasting Canadian GDP Growth2017-02-02Business fluctuations and cyclesEconometric and statistical methodsStaff Working Paper 2017-2https://www.bankofcanada.ca/wp-content/uploads/2017/02/swp2017-2.pdfA Dynamic Factor Model for Nowcasting Canadian GDP GrowthTony ChernisRodrigo SekkelFebruary 2017CC3C32C38C5C53EE3E37