Additional Info

• File: Link
• Published in: in Macroeconomic Forecasting in the Era of Big Data, Springer International Publishing, vol. 52, pp. 465-494 (ISBN 978-3-030-31149-0; 978-3-030-31150-6) (ISSN 1570-5811)
• Year: 2020
• Abstract: This chapter reviews different methods to construct density forecasts and to aggregate forecasts from many sources. Density evaluation tools to measure the accuracy of density forecasts are reviewed and calibration methods for improving the accuracy of forecasts are presented. The manuscript provides some numerical simulation tools to approximate predictive densities with a focus on parallel computing on graphical process units. Some simple examples are proposed to illustrate the methods.