Bayesian model selection and prediction with empirical applications

DOI10.1016/0304-4076(94)01672-MzbMath0925.62528OpenAlexW2057053231MaRDI QIDQ1899250

Peter C. B. Phillips

Publication date: 8 November 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01672-m

zbMATH Keywords

model selectionforecastingunit rootsBIC criterionPICBayes measureforecast encompass

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15)

Related Items (8)

Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models ⋮ IN MEMORY OF JOHN DENIS SARGAN ⋮ VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN ⋮ AUTOMATED DISCOVERY IN ECONOMETRICS ⋮ Benchmark priors for Bayesian model averaging. ⋮ Predictive ability with cointegrated variables ⋮ Model selection using information criteria and genetic algorithms ⋮ The power of tests of predictive ability in the presence of structural breaks

Cites Work

• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
• Understanding spurious regressions in econometrics
• Estimating the dimension of a model
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
• Econometric Evaluation of Linear Macro-Economic Models
• Trends versus Random Walks in Time Series Analysis
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