Forecasting in dynamic factor models using Bayesian model averaging
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Cites work
- Are apparent findings of nonlinearity due to structural instability in economic time series?
- Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Benchmark priors for Bayesian model averaging.
- Determining the Number of Factors in Approximate Factor Models
- Frequentist Model Average Estimators
- scientific article; zbMATH DE number 3983087 (Why is no real title available?)
- Improving on ‘Data mining reconsidered’ by K.D. Hoover and S.J. Perez
- Tests of Conditional Predictive Ability
Cited in
(39)- Bayesian forecasting and dynamic models
- Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
- Dynamics \& sparsity in latent threshold factor models: a study in multivariate EEG signal processing
- Forecasting seasonal time series data: a Bayesian model averaging approach
- Forecasting using predictive likelihood model averaging
- Least squares model averaging based on generalized cross validation
- Tight risk bound for high dimensional time series completion
- High-dimensional VAR with low-rank transition
- Forecasting with nonstationary dynamic factor models
- Methods for computing marginal data densities from the Gibbs output
- Forecasting by factors, by variables, by both or neither?
- Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
- Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models
- Forecasting inflation in Mongolia: a dynamic model averaging approach
- Bayesian model averaging and exchange rate forecasts
- Quantile regression models with factor‐augmented predictors and information criterion
- Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
- Model selection for generalized linear models with factor-augmented predictors
- Rolling window selection for out-of-sample forecasting with time-varying parameters
- Forecasting inflation using dynamic model averaging
- Forecast combination and Bayesian model averaging: a prior sensitivity analysis
- Short-term forecasts of French GDP: a dynamic factor model with targeted predictors
- scientific article; zbMATH DE number 1834013 (Why is no real title available?)
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- Weighted-covariance factor decomposition of VARMA models applied to forecasting quarterly U.S. real GDP at monthly intervals
- Forecasting art prices with Bayesian models
- Stock return predictability: a factor-augmented predictive regression system with shrinkage method
- A predictive approach for selection of diffusion index models
- Evidence for hedge fund predictability from a multivariate Student's \(t\) full-factor GARCH model
- A Bayesian multiple structural change regression model with autocorrelated errors
- Using large data sets to forecast sectoral employment
- Learning, Structural Instability, and Present Value Calculations
- Forecast Combination and Model Averaging Using Predictive Measures
- Bayesian analysis of the factor model with finance applications
- Adaptive learning from model space
- Bayesian Model Averaging: A Systematic Review and Conceptual Classification
- Forecasting inflation using time-varying Bayesian model averaging
- Combined Density Nowcasting in an Uncertain Economic Environment
- Variable selection in high dimensional linear regressions with parameter instability
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