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

Luis Fernando
Melo-Velandia
Rubén Albeiro
Loaiza-Maya
Domingo, 1 Abril 2012

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