Search Results - subject:"Bayesian Model Averaging"

Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities

Scharnagl, Michael; Schumacher, Christian - 2007

Bayesian framework. Bayesian Model Averaging (BMA)based on predictive likelihoods provides a framework that allows for the …

Persistent link: https://www.econbiz.de/10010295846

Does it Make a Difference? Comparing Growth Effects of European and North American FDI in Latin America

Tondl, Gabriele; Prüfer, Patricia - 2007

heterogeneity are incorporated in our estimation. We use Bayesian Model Averaging to address model uncertainty and to select the …

Persistent link: https://www.econbiz.de/10010296038

An Embarrassment of Riches: Forecasting Using Large Panels

Eklund, Jana; Karlsson, Sune - 2007

factor models popularized by Stock and Watson and forecast combination as an application of Bayesian model averaging. We find …

Persistent link: https://www.econbiz.de/10012654322

Computational Efficiency in Bayesian Model and Variable Selection

Eklund, Jana; Karlsson, Sune - 2007

Large scale Bayesian model averaging and variable selection exercises present, despite the great increase in desktop …

Persistent link: https://www.econbiz.de/10012654323

Bayesian Forecast Combination for VAR Models

Andersson, Michael K; Karlsson, Sune - 2007

We consider forecast combination and, indirectly, model selection for VAR models when there is uncertainty about which variables to include in the model in addition to the forecast variables. The key di erence from traditional Bayesian variable selection is that we also allow for uncertainty...

Persistent link: https://www.econbiz.de/10012654331

Bayesian forecast combination for VAR models

Andersson, Michael K; Karlsson, Sune - Sveriges Riksbank - 2007

We consider forecast combination and, indirectly, model selection for VAR models when there is uncertainty about which variables to include in the model in addition to the forecast variables. The key difference from traditional Bayesian variable selection is that we also allow for uncertainty...

Persistent link: https://www.econbiz.de/10005423734

Predictive gains from forecast combinations using time-varying model weights

Ravazzolo, F.; Dijk, H.K. van; Verbeek, M.J.C.M. - Erasmus University Rotterdam, Econometric Institute - 2007

Several frequentist and Bayesian model averaging schemes, including a new one that simultaneously allows for parameter … ECONOMETRIC INSTITUTE REPORT 2007-26 August 17, 2007 Abstract Several frequentist and Bayesian model averaging schemes, including …. Keywords: Stock return predictability, time varying weight combination, forecast combination, Bayesian model averaging JEL …

Persistent link: https://www.econbiz.de/10005450908

Predictive gains from forecast combinations using time-varying model weights

Ravazzolo, Francesco; van Dijk, Herman K.; Verbeek, Marno - Faculteit der Economische Wetenschappen, Erasmus … - 2007

Several frequentist and Bayesian model averaging schemes, including a new one that simultaneously allows for parameter …

Persistent link: https://www.econbiz.de/10010731852

Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows

Assenmacher-Wesche, Katrin; Pesaran, M. Hashem - CESifo - 2007

We investigate the effect of forecast uncertainty in a cointegrating vector error correction model for Switzerland. Forecast uncertainty is evaluated in three different dimensions. First, we investigate the effect on forecasting performance of averaging over forecasts from different models....

Persistent link: https://www.econbiz.de/10005094286

Does it Make a Difference? Comparing Growth Effects of European and North American FDI in Latin America

Tondl, Gabriele; Prüfer, Patricia - Verein für Socialpolitik, Ausschuss für … - 2007

heterogeneity are incorporated in our estimation. We use Bayesian Model Averaging to address model uncertainty and to select the …

Persistent link: https://www.econbiz.de/10005109480