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Optimal combination of density forecasts

05 November, 2004

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Macro-Economic Modelling and ForecastingJEL Code
C53; E37
Paper Category Number
248
This Revision December 2005. First Version November 2004.
This paper brings together two important but hitherto largely unrelated areas of the forecasting literature, density forecasting and forecast combination. It proposes a simple data-driven approach to direct combination of density forecasts using optimal weights.
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