Density forecasting through disaggregation
- Title
- Density forecasting through disaggregation
- Author
- 김건호
- Keywords
- Density forecast; Revised expectations model; Disaggregation; Hierarchical model; Shrinkage effect; Bayesian MCMC
- Issue Date
- 2011-07
- Publisher
- ELSEVIER SCIENCE BV, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS
- Citation
- International journal of forecasting,Vol.27 No.2 [2011],394-412
- Abstract
- In this paper, the revised expectations model (REM) is developed to incorporate economic agents' price expectation formation effects. With this incorporation, two models, an aggregate one sector model and a disaggregated multi-sector model, are estimated and used in density forecasting of the US real GDP growth rate. The experiment shows that use of the disaggregated version of the model, which incorporates price expectation effects along with modern Bayesian MCMC estimation and prediction techniques, produces more precise density forecasts than those yielded by either an aggregate version or benchmark forecasting models. (C) 2010 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
- URI
- https://www.sciencedirect.com/science/article/pii/S0169207010001044?via%3Dihub
- ISSN
- 0169-2070
- DOI
- 10.1016/j.ijforecast.2010.04.007
- Appears in Collections:
- COLLEGE OF ECONOMICS AND FINANCE[S](경제금융대학) > ECONOMICS & FINANCE(경제금융학부) > Articles
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