Bayesian forecast combination for VAR models

DOI10.1016/S0731-9053(08)23015-XMaRDI QIDQ3572036zbMATH OpenFDO

Authors Sune Karlsson, Michael K. Andersson

Publication date 30 June 2010

Published in Bayesian Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cited in

(12)

• scientific article; zbMATH DE number 1098833 (Why is no real title available?)
• Multivariate Bayesian predictive synthesis in macroeconomic forecasting
• Forecasting vector autoregressions with mixed roots in the vicinity of unity
• Combining forecasts based on multiple encompassing tests in a macroeconomic core system
• APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs
• Forecast combinations in a DSGE-VAR lab
• Forecasting with specification-switching VARs
• Combining a regression model with a multivariate Markov chain in a forecasting problem
• Optimal multistep VAR forecast averaging
• Bayesian aggregation of two forecasts in the partial information framework
• Large Hybrid Time-Varying Parameter VARs
• Time-varying forecasts by variational approximation of sequential Bayesian inference

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