Averaging Impulse Responses Using Prediction Pools
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DOI: 10.21144/wp23-04
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More about this item
Keywords
prediction pools; model averaging; impulse responses; misspecification;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-05-22 (Econometrics)
- NEP-ETS-2023-05-22 (Econometric Time Series)
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