This project aimed to develop MATLAB codes for macroeconometric probability forecasting, packaged in the PROFOR (PRObability FORecasting) open source toolbox. This toolbox incorporates forecasting models and methods for producing and combining probability forecasts, together with a selection of forecast evaluation metrics. The initial “demo” version was aimed at current central bank best practice and was released in December 2014. Thanks to the Bank of England and Norges Bank for supporting this research project. Most of the heavy lifting was done by Craig Thamotheram and Leifa Thorsrud. Shaun Vahey and Liz Wakerly tried to keep up.
Download the software from github.