Forecasting in dynamic factor models using Bayesian model averaging

DOI10.1111/j.1368-423X.2004.00143.xzbMath1063.62032MaRDI QIDQ3023038

Gary Koop, Simon M. Potter

Publication date: 4 July 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

reference prior; diffusion index; Markov chain Monte Carlo model composition

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

Related Items

Learning, Structural Instability, and Present Value Calculations, Forecast Combination and Model Averaging Using Predictive Measures, Model selection for generalized linear models with factor-augmented predictors

Cites Work

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• Improving on ‘Data mining reconsidered’ by K.D. Hoover and S.J. Perez
• Tests of Conditional Predictive Ability
• Determining the Number of Factors in Approximate Factor Models
• Benchmark priors for Bayesian model averaging.