Florian Huber

Author

Staff working papers

Predictive Density Combination Using a Tree-Based Synthesis Function

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.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C11, C3, C32, C5, C53

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