Real-Time Density Nowcasts of U.S. Inflation: a Model-Combination Approach

Edward S. Knotek II, Saeed Zaman

Research output: Working paper

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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.
Original languageEnglish
Place of PublicationGlasgow
PublisherUniversity of Strathclyde
Number of pages83
Publication statusPublished - 20 Oct 2020

Publication series

NameStrathclyde Discussion Papers in Economics
PublisherUniversity of Strathclyde
No.15
Volume20

Keywords

  • mixed-frequency models
  • inflation
  • density nowcasts
  • density combinations

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