Bayesian forecast combination for inflation using rolling windows : an emerging country case
Typically, when forecasting inflation rates, there are a variety of individual models and a combination of several of these models. We implement a Bayesian shrinkage combination methodology to include information that is not captured by the individual mod
Autores Principales: | , |
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Formato: | Documento de trabajo (Working Paper) |
Lenguaje: | Español (Spanish) |
Publicado: |
Banco de la República
2012
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Materias: | |
Acceso en línea: | http://repositorio.banrep.gov.co/handle/20.500.12134/5728 |
Sumario: | Typically, when forecasting inflation rates, there are a variety of individual models and a combination of several of these models. We implement a Bayesian shrinkage combination methodology to include information that is not captured by the individual mod |
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