SMU SOE Lee Kong Chian Seminar in Econometrics (Mar 7, 2022, 9.00am-10.30am): On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates

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ABSTRACT We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even the ex post best forecaster) are outperformed by our regularized mixtures. From the Great Recession onward, the optimal regularization tends to move density forecasts' probability mass from the centers to the tails, correcting for overconfidence. Keywords: Density forecasts, forecast combination, survey forecasts, shrinkage, model selection, regularization, partially egalitarian LASSO, model averaging, subset averaging JEL Codes: C2, C5, C8 Click here to view the paper. Click here to view the CV.		This seminar will be held virtually via Zoom. A confirmation email with the Zoom details will be sent to the registered email by 4 Mar 2022.
		PRESENTER Francis X. Diebold University of Pennsylvania
		RESEARCH FIELDS Dynamic Predictive Modeling of Financial Markets Macroeconomy Climate Change
		DATE: 7 March 2022 (Monday)
		TIME: 9.00am - 10.30am