Bayesian model averaging and exchange rate forecasts

DOI10.1016/j.jeconom.2008.08.012zbMath1429.62705OpenAlexW2126584287MaRDI QIDQ299226

Jonathan H. Wright

Publication date: 22 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.08.012

zbMATH Keywords

bootstrapforecastingmodel uncertaintyexchange ratesshrinkage

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15)

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• Bayesian Model Averaging for Linear Regression Models
• Forecasting Using Principal Components From a Large Number of Predictors
• Frequentist Model Average Estimators
• Bayes Factors

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