Arbeitspapier
Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights
Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series. The results indicate that the proposed time varying model weight schemes outperform other combination schemes in terms of predictive and economic gains. In an empirical application using returns on the S&P 500 index, time varying model weights provide improved forecasts with substantial economic gains in an investment strategy including transaction costs. Another empirical example refers to forecasting US economic growth over the business cycle. It suggests that time varying combination schemes may be very useful in business cycle analysis and forecasting, as these may provide an early indicator for recessions.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 09-061/4
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Statistical Simulation Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Forecasting Models; Simulation Methods
Portfolio Choice; Investment Decisions
- Thema
-
forecast combination
Bayesian model averaging
time varying model weights
portfolio optimization
business cycle
Prognoseverfahren
Bayes-Statistik
Portfolio-Management
Konjunkturprognose
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hoogerheide, Lennart
Kleijn, Richard
Ravazzolo, Francesco
van Dijk, Herman K.
Verbeek, Marno
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Hoogerheide, Lennart
- Kleijn, Richard
- Ravazzolo, Francesco
- van Dijk, Herman K.
- Verbeek, Marno
- Tinbergen Institute
Entstanden
- 2009
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