Hofmarcher, Paul; Grün, Bettina - In: Macroeconomic forecasting in the era of big data : …, (pp. 359-388). 2020
Bayesian model averaging (BMA) is a statistical method to rigorously take model uncertainty into account. This chapter gives a coherent overview on the statistical foundations and methods of BMA and its usefulness for forecasting, but also for the identification of robust determinants. The focus...