Model Switching and Model Averaging in Time-Varying Parameter Regression Models

DOI10.1108/S0731-905320140000034004zbMath1453.62656OpenAlexW1503119290MaRDI QIDQ5133542

Miguel A. G. Belmonte, Gary Koop

Publication date: 10 November 2020

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

Full work available at URL: https://doi.org/10.1108/s0731-905320140000034004

zbMATH Keywords

forecast combinationinflation forecastingmodel switchingswitching state space model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Linear regression; mixed models (62J05)

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