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
Diego Fernando Cuesta-Mora, Fredy Alejandro Gamboa-Estrada, Camilo Eduardo Sánchez-Quinto
María José Roa-García, Gloria Amparo Alonso Masmela, Nidia García Bohórquez, Diego A. Rodríguez-Pinilla
José Vicente Romero-Chamorro, Hernando Vargas-Herrera
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