Número:
705
Publicado:
Clasificación JEL:
C22, C53, C11, E31
Palabras clave:
forecast combination, Shrinkage, Expert forecasts, Rolling window estimation
Lo más reciente
Ligia Alba Melo-Becerra, Diego Vásquez-Escobar, María Isabel Alarcón-Obando, Giselle Tatiana Silva-Samudio
Karina Acosta, Juliana Jaramillo-Echeverri, Daniel Lasso Jaramillo, Alejandro Sarasti-Sierra
Juan José Ospina-Tejeiro, Jorge Enrique Ramos-Forero, David Camilo López-Valenzuela, Yurany Hernández-Turca, Nicolle Valentina Herrera-Pinto
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