Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights

DOI10.1002/FOR.1145MaRDI QIDQ3065508zbMATH OpenOpenAlexFDO

Authors Richard Kleijn, Francesco Ravazzolo, Marno Verbeek, Lennart F. Hoogerheide, Herman K. Van Dijk

Publication date 6 January 2011

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL http://papers.tinbergen.nl/09061.pdf

zbMATH Keywords

Bayesian model averagingforecast combinationbusiness cycleportfolio optimizationtime-varying model weights

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

• Forecasting in dynamic factor models using Bayesian model averaging
• Bayesian model averaging and exchange rate forecasts
• Bayesian econometrics and forecasting. (With comments)
• Forecast combination and Bayesian model averaging: a prior sensitivity analysis
• Forecasting time series of economic processes by model averaging across data frames of various lengths
• Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models

Cites work

• scientific article; zbMATH DE number 52648 (Why is no real title available?)
• scientific article; zbMATH DE number 720675 (Why is no real title available?)
• A Bayesian analysis of the unit root in real exchange rates
• A unified approach to nonlinearity, structural change, and outliers
• Approximately normal tests for equal predictive accuracy in nested models
• 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☆
• Combining inflation density forecasts
• Efficient Bayesian Inference for Dynamic Mixture Models
• Forecasts of US short-term interest rates: a flexible forecast combination approach
• Least Squares Model Averaging
• Marginal Likelihood from the Gibbs Output
• Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
• 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

This page was built for publication: Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3065508)