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

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

The most recent

Juliana Jaramillo-Echeverri, Adriana Sofía Rodríguez
Gaurav Khanna, Carlos Alberto Medina-Durango, Anant Nyshadham, Daniel Ramos-Menchelli, Jorge Andrés Tamayo-Castaño, Audrey Tiew

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