Sunday, December 6, 2015

New Review of Forecasting at Bank of England

Check it out here. It's thorough and informative.  

It's interesting and unfortunate that even the Bank of England, the great "fan chart pioneer," produces density forecasts for only three of eleven variables forecasted (p. 15). In my view, the most important single forecasting improvement that the Bank of England -- and all central banks -- could implement is a complete switch from point to density forecast construction, evaluation and combination.