Bayesian Forecasting

John Geweke and Charles Whiteman ()

Chapter 01 in Handbook of Economic Forecasting, 2006, vol. 1, pp 3-80 from Elsevier

Abstract: Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general requires explicit formulation of a model, and conditioning on known quantities, in order to draw inferences about unknown ones. In Bayesian forecasting, one simply takes a subset of the unknown quantities to be future values of some variables of interest. This chapter presents the principles of Bayesian forecasting, and describes recent advances in computational capabilities for applying them that have dramatically expanded the scope of applicability of the Bayesian approach. It describes historical developments and the analytic compromises that were necessary prior to recent developments, the application of the new procedures in a variety of examples, and reports on two long-term Bayesian forecasting exercises.

JEL-codes: B0 (search for similar items in EconPapers)
Date: 2006
ISBN: 0-444-51395-7
References: Add references at CitEc
Citations: View citations in EconPapers (55)

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