Bayesian Forecast Combination for VAR Models

Arbeitspapier

We consider forecast combination and, indirectly, model selection for VAR models when there is uncertainty about which variables to include in the model in addition to the forecast variables. The key di erence from traditional Bayesian variable selection is that we also allow for uncertainty regarding which endogenous variables to include in the model. That is, all models include the forecast variables, but may otherwise have di ering sets of endogenous variables. This is a difficult problem to tackle with a traditional Bayesian approach. Our solution is to focus on the forecasting performance for the variables of interest and we construct model weights from the predictive likelihood of the forecast variables. The procedure is evaluated in a small simulation study and found to perform competitively in applications to real world data.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 13/2007

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Statistical Simulation Methods: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Evaluation, Validation, and Selection ; Forecasting Models; Simulation Methods
• Subject: Bayesian model averaging ; Predictive likelihood ; GDP forecasts

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Andersson, Michael K ; Karlsson, Sune
• Event: Veröffentlichung
• (who): Örebro University School of Business
• (where): Örebro
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/244435
• Last update: 10.03.2025, 11:46 AM CET