Forecast Combination and Model Averaging Using Predictive Measures

DOI10.1080/07474930701220550zbMath1112.62020MaRDI QIDQ5292353

Sune Karlsson, Jana Eklund

Publication date: 20 June 2007

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://www.riksbank.se/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/wp_191.pdf

zbMATH Keywords

predictive likelihood; Bayesian model averaging; training sample; inflation rate; uninformative priors; partial Bayes factor

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

65C05: Monte Carlo methods

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