Bayesian model averaging: an application to forecast inflation in Colombia
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Borradores de Economía; No. 604
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2010-05-18
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2010-05-18
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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.
The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.
Abstract
An application of Bayesian Model Averaging, BMA, is implemented to construct combined forecasts for the colombian inflation for the short and medium run. A model selection algorithm is applied over a set of linear models with a large dataset of potencial
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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.
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