EconPapers    
Economics at your fingertips  
 

Forecast Combination and Model Averaging Using Predictive Measures

Jana Eklund and Sune Karlsson ()

No 5268, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We extend the standard approach to Bayesian forecast combination by forming the weights for the model averaged forecast from the predictive likelihood rather than the standard marginal likelihood. The use of predictive measures of fit offers greater protection against in-sample overfitting and improves forecast performance. For the predictive likelihood we show analytically that the forecast weights have good large and small sample properties. This is confirmed in a simulation study and an application to forecasts of the Swedish inflation rate where forecast combination using the predictive likelihood outperforms standard Bayesian model averaging using the marginal likelihood.

Keywords: Bayesian model averaging; inflation rate; partial Bayes factor; predictive likelihood; training sample (search for similar items in EconPapers)
JEL-codes: C11 C51 C52 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets and nep-for
Date: 2005-10
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (12) Track citations by RSS feed

Downloads: (external link)
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=5268 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: Forecast Combination and Model Averaging Using Predictive Measures (2007) Downloads
Working Paper: Forecast Combination and Model Averaging using Predictive Measures (2005) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cpr:ceprdp:5268

Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... ers/dp.php?dpno=5268

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 77 Bastwick Street, London EC1V 3PZ..
Series data maintained by (). This e-mail address is bad, please contact .

 
Page updated 2017-08-22
Handle: RePEc:cpr:ceprdp:5268