The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic … regressors. With application of tendency survey data the authors develop methodology for application of the Bayesian averaging of … accuracy not inferior to that of structural models. Additional advantage of their approach is that the forecasting procedure …

variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …

that allows for parameter estimation error in certain contexts, and White (2000) who develops testing methodology suitable …