Número:
705
Publicado:
Clasificación JEL:
C22, C53, C11, E31
Palabras clave:
forecast combination, Shrinkage, Expert forecasts, Rolling window estimation
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Jaime Alfredo Bonet-Moron, Jhorland Ayala-García
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