Arbeitspapier
Forecasting using predictive likelihood model averaging
Recently, there has been increasing interest in forecasting methods that utilise large datasets. We explore the possibility of forecasting with model averaging using the out-of-sample forecasting performance of various models in a frequentist setting, using the predictive likelihood. We apply our method to forecasting UK inflation and find that the new method performs well; in some respects it outperforms other averaging methods.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 567
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Statistical Simulation Methods: General
Forecasting Models; Simulation Methods
- Thema
-
Forecasting, Inflation, Bayesian model averaging, Akaike criterion, Forecast combining
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kapetanios, George
Labhard, Vincent
Price, Simon
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kapetanios, George
- Labhard, Vincent
- Price, Simon
- Queen Mary University of London, Department of Economics
Entstanden
- 2006
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