Forecasting inflation using time-varying Bayesian model averaging

DOI10.1111/STAN.12027MaRDI QIDQ6552783zbMATH OpenFDO

Authors Jordi van der Maas

Publication date 10 June 2024

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/STAN.12027

zbMATH Keywords

BMABayesianBayesian model averagingforecasting inflationtime varying BMA

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 4070082 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Benchmark priors for Bayesian model averaging.
• Calculating posterior distributions and modal estimates in Markov mixture models
• Calibration and empirical Bayes variable selection
• Efficient Bayesian Inference for Dynamic Mixture Models
• Estimation and Forecasting in Models with Multiple Breaks
• Finite mixture and Markov switching models.
• Forecasting in dynamic factor models using Bayesian model averaging
• Mixtures of g Priors for Bayesian Variable Selection
• Mixtures of \(g\)-priors for Bayesian model averaging with economic applications
• Variable selection for regression models

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(1)

• Forecasting inflation using sentiment

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