Bayesian forecast combination for VAR models☆

DOI10.1016/S0731-9053(08)23015-XzbMath1189.62151MaRDI QIDQ3572036

Sune Karlsson, Michael K. Andersson

Publication date: 30 June 2010

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

Mathematics Subject Classification ID

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

Related Items (4)

Forecasting vector autoregressions with mixed roots in the vicinity of unity ⋮ Large Hybrid Time-Varying Parameter VARs ⋮ Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting ⋮ OPTIMAL MULTISTEP VAR FORECAST AVERAGING

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