Two model averaging approaches are used and compared in estimating and forecasting dynamic factor models, the well-known BMA and the recently developed WALS. Both methods propose to combine frequentist estimators using Bayesian weights. We apply our framework to the Armenian economy using...

This papers offers a theoretical explanation for the stylized fact that forecast combinations with estimated optimal weights often perform poorly in applications. The properties of the forecast combination are typically derived under the assumption that the weights are fixed, while in practice...