Forecasting in dynamic factor models using Bayesian model averaging
نویسندگان
چکیده
منابع مشابه
Forecasting in Dynamic Factor Models Using Bayesian Model Averaging
This paper considers the problem of forecasting in dynamic factor models using Bayesian model averaging. Theoretical justi cations for averaging across models, as opposed to selecting a single model, are given. Practical methods for implementing Bayesian model averaging with factor models are described. These methods involve algorithms which simulate from the space de ned by all possible models...
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ژورنال
عنوان ژورنال: The Econometrics Journal
سال: 2004
ISSN: 1368-4221,1368-423X
DOI: 10.1111/j.1368-423x.2004.00143.x