USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS
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Publication:3632390
DOI10.1017/S0266466608080237zbMath1284.62788MaRDI QIDQ3632390
Andrey L. Vasnev, Jan R. Magnus
Publication date: 11 June 2009
Published in: Econometric Theory (Search for Journal in Brave)
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic time series analysis (91B84)
Cites Work
- Forecasting the term structure of government bond yields
- On the selection of forecasting models
- The macroeconomy and the yield curve: a dynamic latent factor approach
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Pooling of forecasts
- Information Theory and Mixing Least-Squares Regressions
- Econometric Analysis of Aggregation in the Context of Linear Prediction Models
- Combining Micro and Macro Data in Microeconometric Models
- Bayesian Model Averaging for Linear Regression Models
- Forecasting Using Principal Components From a Large Number of Predictors