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

DOI10.1002/for.1145zbMath1204.91111MaRDI QIDQ3065508

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

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

portfolio optimization; business cycle; forecast combination; Bayesian model averaging; time-varying model weights

Mathematics Subject Classification ID

91B84: Economic time series analysis

Related Items

Time-varying combinations of predictive densities using nonlinear filtering

Cites Work

• Unnamed Item
• Unnamed Item
• Approximately normal tests for equal predictive accuracy in nested models
• A unified approach to nonlinearity, structural change, and outliers
• Forecasts of US short-term interest rates: a flexible forecast combination approach
• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
• A Bayesian analysis of the unit root in real exchange rates
• Combining inflation density forecasts
• Marginal Likelihood from the Gibbs Output
• Pooling of forecasts
• Bayesian near-boundary analysis in basic macroeconomic time-series models☆
• Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
• Efficient Bayesian Inference for Dynamic Mixture Models
• Least Squares Model Averaging