Forecasting in dynamic factor models using Bayesian model averaging
From MaRDI portal
Recommendations
- Bayesian forecasting and dynamic models
- scientific article; zbMATH DE number 4197211
- Dynamic Generalized Linear Models and Bayesian Forecasting
- Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
- Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- Bayesian forecasting and dynamic models.
- Bayesian modeling and forecasting of vector autoregressive moving average processes
- Forecasting with nonstationary dynamic factor models
Cites work
- scientific article; zbMATH DE number 3983087 (Why is no real title available?)
- 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
- Improving on ‘Data mining reconsidered’ by K.D. Hoover and S.J. Perez
- Tests of Conditional Predictive Ability
Cited in
(37)- Stock return predictability: a factor-augmented predictive regression system with shrinkage method
- Forecasting inflation using time-varying Bayesian model averaging
- Quantile regression models with factor‐augmented predictors and information criterion
- Forecasting seasonal time series data: a Bayesian model averaging approach
- Dynamics \& sparsity in latent threshold factor models: a study in multivariate EEG signal processing
- scientific article; zbMATH DE number 1834013 (Why is no real title available?)
- Bayesian model averaging and exchange rate forecasts
- Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
- Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
- Forecasting inflation using dynamic model averaging
- Forecasting with nonstationary dynamic factor models
- Bayesian analysis of the factor model with finance applications
- Learning, Structural Instability, and Present Value Calculations
- Short-term forecasts of French GDP: a dynamic factor model with targeted predictors
- Tight risk bound for high dimensional time series completion
- Adaptive learning from model space
- High-dimensional VAR with low-rank transition
- A Bayesian multiple structural change regression model with autocorrelated errors
- Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
- Combined Density Nowcasting in an Uncertain Economic Environment
- Model selection for generalized linear models with factor-augmented predictors
- Forecasting using predictive likelihood model averaging
- Forecasting art prices with Bayesian models
- Weighted-covariance factor decomposition of VARMA models applied to forecasting quarterly U.S. real GDP at monthly intervals
- Rolling window selection for out-of-sample forecasting with time-varying parameters
- Methods for computing marginal data densities from the Gibbs output
- 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: A Systematic Review and Conceptual Classification
- Evidence for hedge fund predictability from a multivariate Student's \(t\) full-factor GARCH model
- Variable selection in high dimensional linear regressions with parameter instability
- Bayesian forecasting and dynamic models
- Forecast Combination and Model Averaging Using Predictive Measures
- Least squares model averaging based on generalized cross validation
- Using large data sets to forecast sectoral employment
- Forecast combination and Bayesian model averaging: a prior sensitivity analysis
- A predictive approach for selection of diffusion index models
This page was built for publication: Forecasting in dynamic factor models using Bayesian model averaging
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3023038)
