Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/82428 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
Sveriges Riksbank Working Paper Series No. 191
Verlag: 
Sveriges Riksbank, Stockholm
Zusammenfassung: 
We extend the standard approach to Bayesian forecast combination by forming the weights for the model averaged forecast 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 analytically that the forecast weights have good large and small sample properties. This is confirmed in a simulation study and an application to forecasts of the Swedish inflation rate where forecast combination using the predictive likelihood outperforms standard Bayesian model averaging using the marginal likelihood.
Schlagwörter: 
Bayesian model averaging
Predictive likelihood
Partial Bayes factor
Training sample
Inflation rate
JEL: 
C11
C51
C52
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
884.9 kB





Publikationen in EconStor sind urheberrechtlich geschützt.