PFC

 

The Toolbox

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The PRObability FORecasting (PROFOR) toolbox is part of a research project on “Probability Forecasting with Macro Variables” at Warwick Business School, University of Warwick. The main purpose of the project is to develop, extend and apply procedures to undertake probability forecasting with macro variables. In particular, the toolbox incorporates forecasting models and methods for combining forecasts, together with forecast evaluation metrics.  The initial "demo" version is aimed at current central bank best practice.  Subsequent versions will seek to extend the research frontier by incorporating methods for non-linear and non-Gaussian processes. The demo toolbox runs in MATLAB R2014a and R2014b.

 

The demo version of the PROFOR toolbox contains the steps required for replication of the main results in two initial research papers: an application forecasting inflation; and a literature review on probability forecasting with macro variables.  By facilitating code and data sharing, the aim is to make the PROFOR toolbox the starting point for graduate researchers and others wishing to learn advanced probability forecasting techniques. 

 

The PROFOR toolbox, intended as a research tool, provides a steam of essential data and techniques useful for researchers wishing to develop a practical forecasting system. Adaptation to this end requires further modifications to the demo version. 

 

The toolbox will be released as freeware via the Warwick Business School website in April 2015.  Documentation will be available there too by August 2015.  The buttons below will become active at these dates.