@techreport{0af4d4a8e903455fbd1bdfe7e9516518,
title = "Real-Time Density Nowcasts of U.S. Inflation: a Model-Combination Approach",
abstract = "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) adopts a novel flexible treatment in the use of the aggregation function; and (3) permits dynamic model averaging via the use of weights that are updated based on learning from past performance. 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.",
keywords = "mixed-frequency models, inflation, density nowcasts, density combinations",
author = "{Knotek II}, {Edward S.} and Saeed Zaman",
note = "Strathclyde Discussion Papers in Economics No. 20-15.",
year = "2020",
month = oct,
day = "20",
language = "English",
series = "Strathclyde Discussion Papers in Economics",
publisher = "University of Strathclyde",
type = "WorkingPaper",
institution = "University of Strathclyde",
}