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11-172/4 - Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data


  • Authors
    Monica Billio, University of Venice; Roberto Casarin, University of Venice; Francesco Ravazzolo, Norges Bank; Herman K. van Dijk, Erasmus University Rotterdam, VU University Amsterdam
  • Publication date
    December 1, 2011
  • Keywords
    Density Forecast Combination, Survey Forecast, Nonlinear Filtering, Sequential Monte Carlo
  • JEL
    C11, C15, C53, E37