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Activity Number:
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122
- Advances in Nowcasting of Macroeconomic Variables: New Methods and Applications
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Type:
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Topic Contributed
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Date/Time:
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Monday, August 3, 2020 : 1:00 PM to 2:50 PM
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Sponsor:
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Business and Economic Statistics Section
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Abstract #309864
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Title:
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Real-Time Density Nowcasts of U.S. Inflation: A Model-Combination Approach
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Author(s):
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Saeed Zaman* and Edward S. Knotek II
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Companies:
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Federal Reserve Bank of Cleveland and University of Strathclyde and Federal Reserve Bank of Cleveland
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Keywords:
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mixed-frequency models;
inflation;
density nowcasts;
density combinations;
real-time data
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Abstract:
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We develop a flexible modeling framework to produce density nowcasts for U.S. inflation at a trading-day frequency. Our framework: (1) combines individual density nowcasts from three classes of parsimonious mixed-frequency models; (2) permits dynamic model averaging via the use of weights that are updated based on learning from past performance; and (3) adopts a novel flexible treatment in the use of the aggregation function. Together these features provide density nowcasts that can accommodate non-Gaussian properties. We document the competitive properties of the nowcasts generated from our framework using high-frequency, real-time data over the period 2000-2015.
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Authors who are presenting talks have a * after their name.
