Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates

Cites Work

Estimating the dimension of a model
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Combining Probability Distributions from Dependent Information Sources
Comparison of alternative functional forms in production

Cited In (52)

Large Hybrid Time-Varying Parameter VARs
Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+
Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
The power of tests of predictive ability in the presence of structural breaks
VAR forecasting under misspecification
Detecting homogenous predictors in high-dimensional panel model with an MCMC algorithm
Model averaging, asymptotic risk, and regressor groups
Bayesian solutions to graduate admissions and related selection problems
Directed graphs, information structure and forecast combinations: an empirical examination of US unemployment rates
Nonparametric seemingly unrelated regression
Bayesian analysis of long memory and persistence using ARFIMA models
A discussion of parameter and model uncertainty in insurance
Generalizing the standard product rule of probability theory and Bayes's theorem
Dynamic prediction pools: an investigation of financial frictions and forecasting performance
Bayesian model averaging and exchange rate forecasts
Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models
A Bayesian analysis of exogeneity in models pooling time-series and cross-sectional data
An algorithm to estimate time-varying parameter SURE models under different types of restriction
Forecasting with temporal hierarchies
Forecasting with nonstationary dynamic factor models
Forecasting in dynamic factor models using Bayesian model averaging
Testing for stationarity in series with a shift in the mean. A Fredholm approach
Sir Clive W. J. Granger's contributions to forecasting
Combining inflation density forecasts
Two-Stage Bayesian Model Averaging in Endogenous Variable Models
Optimal forecast combinations under general loss functions and forecast error distributions
Extremely randomized neural networks for constructing prediction intervals
Bayesian model selection and prediction with empirical applications
Bayes factors and nonlinearity: Evidence from economic time series
Robust forecast combinations
A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models
Bootstrap confidence bands for shrinkage estimators
Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
Testing for integration using evolving trend and seasonals models: A Bayesian approach.
Beta-product dependent Pitman-Yor processes for Bayesian inference
Explaining consumer choice through neural networks: the stacked generalization approach
Forecasting the term structure of government bond yields
Optimal forecasting accuracy using Lp-norm combination
Sparse seemingly unrelated regression modelling: applications in finance and econometrics
Economic variable selection
Least-squares forecast averaging
Forecasting time series of economic processes by model averaging across data frames of various lengths
Forecasting with factor-augmented regression: a frequentist model averaging approach
Flow of conjunctural information and forecast of euro area economic activity
Comparing and choosing between two models with a third model in background
Inference and prediction in a multiple-structural-break model
A note on linear combination of predictors
Forecast Combination and Model Averaging Using Predictive Measures
Predictive ability with cointegrated variables
Some Recent Developments in Econometric Inference
Testing parameter constancy in linear models against stochastic stationary parameters
Benchmark priors for Bayesian model averaging.

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