Gupta, Rangan; Kabundi, Alain; Miller, Stephen M. - 2009
Bayesian approach already solves the over-parameterization problem,
researchers can add a large set of variables to the … forecasting models. Using the period of 1976:Q1 to
1994:Q4 as the in-sample period and 1995:Q1 to 2003:Q4 as the out-of …-sample
horizon, we compare the forecast performance of the alternative models. Based
on the average root mean squared error (RMSE …