Blar i Norges Banks vitenarkiv på emneord "Bayesian model averaging"

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    • Combination Schemes for Turning Point Predictions 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;4/2012, Working paper, 2012)
      We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning ...

    • Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time Varying Weight 

      Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco; van Dijk, Herman K.; Verbeek, Marno (Working Papers;10/2009, Working paper, 2009)
      Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast ...

    • Forecasting Commodity Currencies: The Role of Fundamentals with Short-Lived Predictive Content 

      Foroni, Claudia; Ravazzolo, Francesco; Ribeiro, Pinho J. (Working Papers;14/2015, Working paper, 2015)
      Recent evidence highlights that commodity price changes exhibit a short-lived, yet robust contemporaneous effect on commodity currencies, which is mainly detectable in daily-frequency data. We use MIDAS models in a Bayesian ...

    • Real-Time Inflation Forecasting in a Changing World 

      Groen, Jan J. J.; Paap, Richard; Ravazzolo, Francesco (Working Papers;16/2009, Working paper, 2009)
      This paper revisits inflation forecasting using reduced form Phillips curve forecasts, i.e., inflation forecasts using activity and expectations variables. We propose a Phillips curve-type model that results from averaging ...