Forecast Combination and Model Averaging Using Predictive Measures

DOI10.1080/07474930701220550zbMath1112.62020OpenAlexW2025349443MaRDI QIDQ5292353

Sune Karlsson, Jana Eklund

Publication date: 20 June 2007

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://www.riksbank.se/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/wp_191.pdf

zbMATH Keywords

predictive likelihoodBayesian model averagingtraining sampleinflation rateuninformative priorspartial Bayes factor

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Monte Carlo methods (65C05)

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