11-172/4 - Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data

• Authors
  Monica Billio, University of Venice; Roberto Casarin, University of Venice; Francesco Ravazzolo, Norges Bank; Herman K. van Dijk, Erasmus University Rotterdam, VU University Amsterdam
• Publication date
  December 1, 2011

• Keywords
  Density Forecast Combination, Survey Forecast, Nonlinear Filtering, Sequential Monte Carlo
• JEL
  C11, C15, C53, E37