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Forecast Combination and Model Averaging using Predictive Measures
Eklund, Jana; Karlsson, Sune - 2005
application to forecasts of the Swedish inflation rate where forecast combination using the predictive likelihood outperforms …
Persistent link: https://www.econbiz.de/10010321289
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Forecast Combination and Model Averaging using Predictive Measures
Eklund, Jana; Karlsson, Sune - Sveriges Riksbank - 2005
application to forecasts of the Swedish inflation rate where forecast combination using the predictive likelihood outperforms …
Persistent link: https://www.econbiz.de/10005649107
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Forecast Combination and Model Averaging Using Predictive Measures
Eklund, Jana; Karlsson, Sune - C.E.P.R. Discussion Papers - 2005
application to forecasts of the Swedish inflation rate where forecast combination using the predictive likelihood outperforms …
Persistent link: https://www.econbiz.de/10005792336
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Finding good predictors for inflation : a Bayesian model averaging approach
Jacobson, Tor; Karlsson, Sune - 2002
We consider a Bayesian Model Averaging approach for the purpose of forecasting Swedish consumer price index inflation …
Persistent link: https://www.econbiz.de/10011584482
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Euro area real-time density forecasting with financial or labor market frictions
McAdam, Peter; Warne, Anders - 2018
-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds … extensions improve the density forecasts of real GDP and inflation and their joint forecasts up to an eight-quarter horizon. We … find that adding financial frictions leads to a deterioration in the forecasts, with the exception of longer-term inflation …
Persistent link: https://www.econbiz.de/10011813503
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Density forecast combinations : the real-time dimension
McAdam, Peter; Warne, Anders - 2020
inflation and output growth. We find that some combinations are superior to the individual models for the joint and the output …. For the inflation forecasts, the DSGE models are better overall than the BVARs and the combination methods. …
Persistent link: https://www.econbiz.de/10012172228
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Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
Chen, Cathy W. S. - 2015
generalized error distribution. Adaptive Markov chain Monte Carlo methods are employed in estimation and forecasting. A portfolio …
Persistent link: https://www.econbiz.de/10013038062
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Concept-Based Bayesian Model Averaging and Growth Empirics
Magnus, J.R; Wang, Wendun - 2012
In specifying a regression equation, we need to determine which regressors to include, but also how these regressors are measured. This gives rise to two levels of uncertainty: concepts (level 1) and measurements within each concept (level 2). In this paper we propose a hierarchical weighted...
Persistent link: https://www.econbiz.de/10014172813
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BayVAR_R : Bayesian VAR Modeling in R
Quilis, Enrique M. - 2022
(UVAR) andBayesian (BVAR) perspective. The package includes functionalities forthe speci cation, estimation and diagnosis of …
Persistent link: https://www.econbiz.de/10013309434
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Measuring and predicting heterogeneous recessions
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2012
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with 'mild' and 'severe'...
Persistent link: https://www.econbiz.de/10009511771