A complete procedure for calculating the joint predictive distribution of future observations based on the cointegrated vector autoregression is presented. The large degree of uncertainty in the choise of the cointegration vectors is incorporated into the analysis through a prior distribution on...

In this paper, we apply Bayesian averaging of classical estimates (BACE) and Bayesian model averaging (BMA) as an automatic modeling procedures for two well-known macroeconometric models: UK demand for narrow money and long-term inflation. Empirical results verify the correctness of BACE and BMA...

Decision-makers often consult different experts to build reliable forecasts on variables of interest. Combining more opinions and calibrating them to maximize the forecast accuracy is consequently a crucial issue in several economic problems. This paper applies a Bayesian beta mixture model to...

This paper provides a new approach to recover relative entropy measures of contemporaneous dependence from limited information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC). The MECC can effectively be obtained by...

We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of models that have been used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian inference compared to frequentist estimation techniques,...