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

Detalles Bibliográficos
Autores Principales: Melo-Velandia, Luis Fernando, Loaiza-Maya, Rubén Albeiro
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2012
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/5728
Descripción
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