Dynamic prediction pools: an investigation of financial frictions and forecasting performance
DOI10.1016/J.JECONOM.2016.02.006zbMATH Open1420.62408OpenAlexW3123285437MaRDI QIDQ281046FDOQ281046
Authors: Marco Del Negro, Raiden B. Hasegawa, Frank Schorfheide 
Publication date: 10 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.02.006
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Cites Work
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Generalised density forecast combinations
- Combining predictive distributions
- Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
- Particle Markov Chain Monte Carlo Methods
- Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
- Time-varying combinations of predictive densities using nonlinear filtering
- Forecasting inflation using dynamic model averaging
- Optimal prediction pools
- VAR forecasting under misspecification
- The external finance premium and the macroeconomy: US post-WWII evidence
- Bayesian model averaging and exchange rate forecasts
- Title not available (Why is that?)
- Confronting model misspecification in macroeconomics
Cited In (14)
- Dynamic Bayesian predictive synthesis in time series forecasting
- Forecast density combinations of dynamic models and data driven portfolio strategies
- Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
- Generalised density forecast combinations
- Combining probabilistic forecasts of intermittent demand
- Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
- Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion
- Taking financial frictions to the data
- Application of wavelet decomposition in time-series forecasting
- Debt regimes and the effectiveness of monetary policy
- Likelihood tempering in dynamic model averaging
- Infinite Markov pooling of predictive distributions
- Combining large numbers of density predictions with Bayesian predictive synthesis
- Multivariate Bayesian predictive synthesis in macroeconomic forecasting
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