walk as we noticed that certain multivariate models (which included prices of silver, platinum, palladium and rhodium … forecasting horizons. Moreover, we find that the univariate models used in this paper are able to outperform the Bayesian … autoregression, and Bayesian vector autoregressive models, with exponential smoothing (ETS) reporting statistically significant …

This technical note is developed as a companion to the paper ‘Assessing Bayesian Model Comparison in Small Samples … simulated data how Bayesian model comparison based on posterior odds performs when the model becomes arbitrarily close to a … their Bayesian model comparison exercises. Third, we describe the Bayesian estimation and model comparison techniques with …

We investigate the Bayesian approach to model comparison within a two-country framework with nominal rigidities using … experiments that employ simulated data. We argue that Bayesian model comparison with posterior odds is sensitive to sample size …

linear model (such as random walk) but also the Bayesian model averaging (BMA) model for examining possible predictors of the …