Bayesian model averaging: an application to forecast inflation in Colombia

Borradores de Economia
Number: 
604
Published: 
Classification JEL: 
C11, C15, C52, C53
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy

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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