C53 - Forecasting and Prediction Methods; Simulation Methods

• Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis

  Staff Working Paper 2023-45 Tony Chernis

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C11, C5, C52, C53, E, E3, E37