Forecasting in dynamic factor models using Bayesian model averaging

DOI10.1111/j.1368-423X.2004.00143.xzbMath1063.62032OpenAlexW3121785069MaRDI QIDQ3023038

Simon M. Potter, Gary Koop

Publication date: 4 July 2005

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00143.x

zbMATH Keywords

reference priordiffusion indexMarkov chain Monte Carlo model composition

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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