Bayesian forecast combination for VAR models

DOI10.1016/S0731-9053(08)23015-XzbMATH Open1189.62151MaRDI QIDQ3572036FDOQ3572036

Authors: Sune Karlsson, Michael K. Andersson 

Publication date: 30 June 2010

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

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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)

Cited In (9)

• OPTIMAL MULTISTEP VAR FORECAST AVERAGING
• Combining a regression model with a multivariate Markov chain in a forecasting problem
• Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
• Large Hybrid Time-Varying Parameter VARs
• Bayesian aggregation of two forecasts in the partial information framework
• APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs
• Forecasting vector autoregressions with mixed roots in the vicinity of unity
• Time-varying forecasts by variational approximation of sequential Bayesian inference
• Title not available (Why is that?)

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