Número:
604
Publicado:
Clasificación JEL:
C11, C15, C52, C53
Palabras clave:
Bayesian model averaging, forecast combination, Inflation, Information theoretical model averaging.
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Lukas Delgado-Prieto, Andrea Sofía Otero-Cortés, Andrés Calderón
Julián Andrés Parra-Polanía, Carmiña Ofelia Vargas-Riaño
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