Forecasting using predictive likelihood model averaging

DOI10.1016/j.econlet.2005.12.017zbMath1254.91668OpenAlexW2085430754MaRDI QIDQ1929119

George Kapetanios, Vincent Labhard, Simon Price

Publication date: 7 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/62824

zbMATH Keywords

inflationforecastingBayesian model averagingAkaike criterionforecast combining

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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Cites Work

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• A Bayesian analysis of the minimum AIC procedure
• Predictive likelihood: A review. With comments and a rejoinder by the author
• Information criteria for selecting possibly misspecified parametric models
• Approximate predictive likelihood
• A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
• Comparison of Akaike information criterion and consistent Akaike information criterion for model selection and statistical inference from capture-recapture studies
• Forecast Combination and Model Averaging Using Predictive Measures
• On Information and Sufficiency

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