Forecast Combination and Model Averaging Using Predictive Measures

DOI10.1080/07474930701220550zbMath1112.62020OpenAlexW2025349443MaRDI QIDQ5292353

Sune Karlsson, Jana Eklund

Publication date: 20 June 2007

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://www.riksbank.se/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/wp_191.pdf

zbMATH Keywords

predictive likelihoodBayesian model averagingtraining sampleinflation rateuninformative priorspartial Bayes factor

Mathematics Subject Classification ID

Related Items (11)

Model averages sharpened into Occam’s razors: Deep learning enhanced by Rényi entropy ⋮ A new marked point process model for the federal funds rate target: methodology and forecast evaluation ⋮ Model averaging with privacy-preserving ⋮ A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood ⋮ Forecasting using predictive likelihood model averaging ⋮ Model aggregation for doubly divided data with large size and large dimension ⋮ A hierarchical forecasting model for China's foreign trade ⋮ Combining VAR and DSGE forecast densities ⋮ A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation ⋮ A Model-Averaging Approach for High-Dimensional Regression ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
• Comparing dynamic equilibrium models to data: a Bayesian approach
• Optimal forecast combinations under general loss functions and forecast error distributions
• Forecasting in dynamic factor models using Bayesian model averaging
• The Intrinsic Bayes Factor for Model Selection and Prediction
• Pooling of forecasts
• The Predictive Sample Reuse Method with Applications
• Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
• Benchmark priors for Bayesian model averaging.

This page was built for publication: Forecast Combination and Model Averaging Using Predictive Measures