Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/264947 
Year of Publication: 
2022
Series/Report no.: 
Working Paper No. 5/2022
Publisher: 
Norges Bank, Oslo
Abstract: 
We propose a novel copula approach to producing density forecasts of economic aggregates combining models using disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable to any econometric model that produces density forecasts. We construct a set of Monte Carlo studies to investigate the properties of the suggested approach. In our empirical application, we use the Norwegian index for goods consumption (VKI) and the Norwegian consumer price index for underlying inflation (CPI-ATE). We find that the copula approach compares well to alternative methods using recursive out-of-sample estimation.
Subjects: 
Aggregate forecast
disaggregates
density forecast
copula
JEL: 
C53
E27
Persistent Identifier of the first edition: 
ISBN: 
978-82-8379-234-8
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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