Showing 1 - 10 of 59
Persistent link: https://www.econbiz.de/10001430824
Persistent link: https://www.econbiz.de/10001464744
Persistent link: https://www.econbiz.de/10001807014
Persistent link: https://www.econbiz.de/10001690085
Persistent link: https://www.econbiz.de/10001722263
Persistent link: https://www.econbiz.de/10001723964
This paper presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. The combination weights...
Persistent link: https://www.econbiz.de/10014158534
We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest under a flat prior and the potential of Direct Monte Carlo (DMC) approaches for efficient...
Persistent link: https://www.econbiz.de/10014165267
Increasingly, professional forecasters and academic researchers present model-based and subjective or judgment-based forecasts in economics which are accompanied by some measure of uncertainty. In its most complete form this measure is a probability density function for future values of the...
Persistent link: https://www.econbiz.de/10012911829
We suggest to extend the stacking procedure for a combination of predictive densities, proposed by Yao et al in the journal Bayesian Analysis to a setting where dynamic learning occurs about features of predictive densities of possibly misspecified models. This improves the averaging process of...
Persistent link: https://www.econbiz.de/10012913233