Borradores de Economia
Número:
705
Publicado:
Clasificación JEL:
C22, C53, C11, E31
Palabras clave:
forecast combination, Shrinkage, Expert forecasts, Rolling window estimation
Lo más reciente
Zhibiao Zhao, Manuel Darío Hernández-Bejarano
Daniel Herrera-Araujo, Jorge Florez-Acosta
Luis Armando Galvis-Aponte, Adriana Marcela Rivera-Zárate
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