Forecasting Using Predictive Likelihood Model Averaging

Recently, there has been increasing interest in forecasting methods that utilise large datasets. We explore the possibility of forecasting with model averaging using the out-of-sample forecasting performance of various models in a frequentist setting, using the predictive likelihood. We apply our method to forecasting UK inflation and find that the new method performs well; in some respects it outperforms other averaging methods.

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Year of publication:	2006-09
Authors:	Kapetanios, George ; Labhard, Vincent ; Price, Simon
Institutions:	School of Economics and Finance, Queen Mary
Subject:	Forecasting \| Inflation \| Bayesian model averaging \| Akaike criterion \| Forecast combining

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 567
Classification:	C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005106379