In this study the forecast performance of model averaged forecasts is compared to that of alternative single models. Following Eklund and Karlsson (2007) we form posterior model probabilities - the weights for the combined forecast - based on the predictive likelihood. Extending the work of...

Ciccone and Jarocinski (2010) show that inference in Bayesian model averaging (BMA) can be highly sensitive to small changes in the dependent variable. In particular they demonstrate that the importance of growth determinants in explaining growth varies tremendously over different revisions of...