Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
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Publication:3065508
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Cites work
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- A Bayesian analysis of the unit root in real exchange rates A Bayesian analysis of the unit root in real exchange rates
- A unified approach to nonlinearity, structural change, and outliers A unified approach to nonlinearity, structural change, and outliers
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- Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
- Bayesian near-boundary analysis in basic macroeconomic time-series models☆ Bayesian near-boundary analysis in basic macroeconomic time-series models☆
- Combining inflation density forecasts Combining inflation density forecasts
- Efficient Bayesian Inference for Dynamic Mixture Models Efficient Bayesian Inference for Dynamic Mixture Models
- Forecasts of US short-term interest rates: a flexible forecast combination approach Forecasts of US short-term interest rates: a flexible forecast combination approach
- Least Squares Model Averaging Least Squares Model Averaging
- Marginal Likelihood from the Gibbs Output Marginal Likelihood from the Gibbs Output
- Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
- Pooling of forecasts Pooling of forecasts
Cited in
(19)- Forecast Combination and Model Averaging Using Predictive Measures
- Multivariate Bayesian predictive synthesis in macroeconomic forecasting
- Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
- Forecasting inflation using time-varying Bayesian model averaging
- Time-varying combinations of predictive densities using nonlinear filtering
- scientific article; zbMATH DE number 1834013 (Why is no real title available?)
- Bayesian forecast combination for VAR models
- Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions
- Forecast combination and Bayesian model averaging: a prior sensitivity analysis
- Dynamic Bayesian predictive synthesis in time series forecasting
- A flexible predictive density combination for large financial data sets in regular and crisis periods
- Forecasting inflation using dynamic model averaging
- Predictive model averaging with parameter instability and heteroskedasticity
- Time-varying model averaging
- Model averaging for asymptotically optimal combined forecasts
- A panel data approach to economic forecasting: the bias-corrected average forecast
- Forecasting in dynamic factor models using Bayesian model averaging
- Infinite Markov pooling of predictive distributions
- Ensemble Economic Scenario Generators: Unity Makes Strength
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