from the predictive likelihood rather than the standard marginal likelihood. The use of predictive measures of fit offers … forecast performance. For the predictive likelihood we argue that the forecast weights have good large and small sample … forecast combination using the predictive likelihood outperforms standard Bayesian model averaging using the marginal …

from the predictive likelihood rather than the standard marginal likelihood. The use of predictive measures of fit offers … greater protection against in-sample overfitting and improves forecast performance. For the predictive likelihood we show … application to forecasts of the Swedish inflation rate where forecast combination using the predictive likelihood outperforms …

's GDP and labour productivity data. It is shown that the predictive likelihood information criterion is valid only among …