Bayesian model averaging: an application to forecast inflation in Colombia

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Borradores de Economía; No. 604

Date published

2010-05-18

Date

2010-05-18

Authors

González-Molano, Eliana Rocío

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ISSN

ISBN

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.

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

Description

JEL Codes

C11 - Bayesian Analysis: General

Temática

Keywords

Keywords

Bayesian model averaging , Forecast combination , Inflation , Information theoretical model averaging

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5621
 https://hdl.handle.net/20.500.12134/5621
 https://ideas.repec.org/p/bdr/borrec/604.html
 https://doi.org/10.32468/be.604

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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.

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