Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting

DOI10.1080/01621459.2019.1660171zbMath1441.91057arXiv1711.01667OpenAlexW2972891295WikidataQ127243549 ScholiaQ127243549MaRDI QIDQ5120648

Mike West, Jouchi Nakajima, Knut Are Aastveit, Kenichiro McAlinn

Publication date: 15 September 2020

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.01667

zbMATH Keywords

Bayesian forecastingmacroeconomic forecastingagent opinion analysisdynamic latent factors modelsdynamic SURE modelsmultivariate density forecast combination

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (7)

Bayesian Computation in Dynamic Latent Factor Models ⋮ Infinite Markov pooling of predictive distributions ⋮ A flexible predictive density combination for large financial data sets in regular and crisis periods ⋮ Bayesian inference for the weights in logarithmic pooling ⋮ Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil ⋮ Adaptive variable selection for sequential prediction in multivariate dynamic models ⋮ Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions

Uses Software

• bvarsv
• DeCo
• rSGDLM

Cites Work

• Unnamed Item
• Unnamed Item
• Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
• Dynamic prediction pools: an investigation of financial frictions and forecasting performance
• Combining predictive distributions
• Probability aggregation in time-series: dynamic hierarchical modeling of sparse expert beliefs
• GPU-accelerated Bayesian learning and forecasting in simultaneous graphical dynamic linear models
• Aggregating expert judgement
• Bayesian forecasting and dynamic models.
• Optimal prediction pools
• Modeling expert judgements for Bayesian updating
• Dynamic Bayesian predictive synthesis in time series forecasting
• Coherent combination of experts' opinions. (With discussion)
• On the evolution of the monetary policy transmission mechanism
• Generalised density forecast combinations
• Time-varying combinations of predictive densities using nonlinear filtering
• Particle filters and Bayesian inference in financial econometrics
• Combining inflation density forecasts
• Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
• Bayesian forecast combination for VAR models☆
• Bayesian Aggregation
• On the Reconciliation of Probability Assessments
• Model Uncertainty and Forecast Combination in High‐Dimensional Multivariate Volatility Prediction
• Time Varying Structural Vector Autoregressions and Monetary Policy
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

This page was built for publication: Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting