This paper evaluates a novel sampling algorithm, called shotgun stochastic search (S³), for Bayesian model averaging in the context of finding predictors for inflation when the set of potential predictors is large. This is a relevant case in the forecasting literature, where often hundreds of...

This paper addresses the relative importance of monetary indicators for forecasting inflation in the euro area in a Bayesian framework. Bayesian Model Averaging (BMA)based on predictive likelihoods provides a framework that allows for the estimation of inclusion probabilities of a particular...

This paper addresses the relative importance of monetary indicators for forecasting inflation in the euro area in a Bayesian framework. Bayesian Model Averaging (BMA)based on predictive likelihoods provides a framework that allows for the estimation of inclusion probabilities of a particular...