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-square forecast errors of the two models for both DGPs, and investigate autocorrelated errors, so both models can better approximate …
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Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general requires explicit formulation of a model, and conditioning on known quantities, in order to draw inferences about unknown ones. In Bayesian forecasting, one simply takes a subset of...
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applied work. It has been recognized that a profound econometric analysis requires, besides the path forecast, a joint …
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opinions and calibrating them to maximize the forecast accuracy is consequently a crucial issue in several economic problems … that the linear pooling together with beta mixture calibration achieves the best results in terms of calibrated forecast. …
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This paper provides a new approach to recover relative entropy measures of contemporaneous dependence from limited information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC). The MECC can effectively be obtained by...
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