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

Number: 
705
Published: 
Classification JEL: 
C22, C53, C11, E31
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy

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