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; Predictive likelihood; Partial bayes factor; Training sample; Inflation rate (search for similar items in EconPapers)
JEL-codes: C11 C51 C52 C53 (search for similar items in EconPapers)
Date: 2005-10
New Economics Papers: this item is included in nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)
Downloads: (external link)
https://cepr.org/publications/DP5268 (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:
Working Paper: Forecast Combination and Model Averaging using Predictive Measures (2005) 
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: https://EconPapers.repec.org/RePEc:cpr:ceprdp:5268
Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP5268
Access Statistics for this paper
More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().