Bayesian forecast combination for inflation using rolling windows : an emerging country case

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Borradores de Economía; No. 705
Date published
2012-04-20
Date of last update
2012-04-20
Author
Melo-Velandia, Luis Fernando
Loaiza-Maya, Rubén Albeiro
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
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
JEL Codes
C11 - Bayesian Analysis: GeneralC22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processesC53 - Forecasting and Prediction Methods; Simulation MethodsE31 - Price Level; Inflation; Deflation
Keywords
Forecast combination ; Shrinkage ; Expert forecasts ; Rolling window estimation ; Inflation forecasts ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5728
https://hdl.handle.net/20.500.12134/5728
https://doi.org/10.32468/be.705
https://ideas.repec.org/p/bdr/borrec/705.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit