Forecasting inflation using dynamic model averaging
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system
- Bayesian Graphical Models for Discrete Data
- Dynamic linear models with Markov-switching
- Finite mixture and Markov switching models.
- Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
- Forecasting and conditional projection using realistic prior distributions
- Forecasting in dynamic factor models using Bayesian model averaging
- scientific article; zbMATH DE number 3954119 (Why is no real title available?)
- scientific article; zbMATH DE number 4197211 (Why is no real title available?)
- Mixture Kalman Filters
- On the evolution of the monetary policy transmission mechanism
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Stochastic processes and filtering theory
- Time Varying Structural Vector Autoregressions and Monetary Policy
Cited in
(53)- Complete subset regressions
- Inflation as a global phenomenon -- some implications for inflation modeling and forecasting
- The macroeconomic and fiscal implications of inflation forecast errors
- Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
- Fast computation of the deviance information criterion for latent variable models
- Model averaging in Markov-switching models: predicting national recessions with regional data
- Forecasting using predictive likelihood model averaging
- Boosting high dimensional predictive regressions with time varying parameters
- Dynamic variable selection with spike-and-slab process priors
- Moving average stochastic volatility models with application to inflation forecast
- Large time-varying parameter VARs
- Time-varying combinations of predictive densities using nonlinear filtering
- Time-varying sparsity in dynamic regression models
- Forecasting inflation in Mongolia: a dynamic model averaging approach
- Dynamic prediction pools: an investigation of financial frictions and forecasting performance
- Analysis problems and creating forecast models for CPI in Albania
- Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach
- scientific article; zbMATH DE number 6501239 (Why is no real title available?)
- Fitting observed inflation expectations
- On the sources of uncertainty in exchange rate predictability
- scientific article; zbMATH DE number 2141409 (Why is no real title available?)
- Real‐Time Forecasts of Inflation: The Role of Financial Variables
- The informational content of the term spread in forecasting the US inflation rate: a nonlinear approach
- Forecasting inflation across Euro area countries and sectors: a panel VAR approach
- New evidence on the ability of asset prices and real economic activity forecast errors to predict inflation forecast errors
- Yield curve forecast combinations based on bond portfolio performance
- Bayesian Approaches to Shrinkage and Sparse Estimation
- Adaptive learning from model space
- scientific article; zbMATH DE number 5035835 (Why is no real title available?)
- Robust open Bayesian analysis: overfitting, model uncertainty, and endogeneity issues in multiple regression models
- Specification tests for time-varying parameter models with stochastic volatility
- Using a projection method to analyze inflation bias in a micro-founded model
- BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS
- Nonparametric instrument model averaging
- Penalized time-varying model averaging
- Updated DTW+K-Means approach with LSTM and ARIMA-type models for Core Inflation forecasting
- Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Forecasting inflation using time-varying Bayesian model averaging
- Regularized GMM for time-varying models with applications to asset pricing
- Dynamic partial (co)variance forecasting model
- The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling
- High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms
- Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
- Combined Density Nowcasting in an Uncertain Economic Environment
- Predictive density combination using Bayesian machine learning
- Financial condition indices in an incomplete data environment
- Bayesian ex post evaluation of recursive multi-step-ahead density prediction
- A self-tuning model for inflation rate dynamics
- Local Predictability in High Dimensions
- Density-based machine learning model averaging for inflation forecasting
- Bayesian dynamic quantile model averaging
- Model averaging for time-varying vector autoregressions
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