Finding good predictors for inflation: a Bayesian model averaging approach
We consider a Bayesian model averaging approach for the purpose of forecasting Swedish consumer price index inflation using a large set of potential indicators, comprising some 80 quarterly time series covering a wide spectrum of Swedish economic activity. The paper demonstrates how to efficiently and systematically evaluate (almost) all possible models that these indicators in combination can give rise to. The results, in terms of out-of-sample performance, suggest that Bayesian model averaging is a useful alternative to other forecasting procedures, in particular recognizing the flexibility by which new information can be incorporated. Copyright © 2004 John Wiley & Sons, Ltd.
Volume (Year): 23 (2004)
Issue (Month): 7 ()
|Contact details of provider:|| Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
- Smith, M. & Kohn, R., 1998.
"Nonparametric Seemingly Unrelated Regression,"
Monash Econometrics and Business Statistics Working Papers
7/98, Monash University, Department of Econometrics and Business Statistics.
- PALM, Franz C. & ZELLNER, Arnold, .
"To Combine or not to Combine? Issues of Combining Forecasts,"
CORE Discussion Papers RP
1027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Palm, F. & Zellner, A., 1991. "To combine or not to combine? issues of combining forecasts," CORE Discussion Papers 1991022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Min, C.K. & Zellner, A., 1992.
""Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates","
90-92-23, California Irvine - School of Social Sciences.
- Min, Chung-ki & Zellner, Arnold, 1993. "Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 89-118, March.
- Svensson, Lars E. O., 1999.
"Inflation targeting as a monetary policy rule,"
Journal of Monetary Economics,
Elsevier, vol. 43(3), pages 607-654, June.
- Svensson, Lars E O, 1998. "Inflation Targeting as a Monetary Policy Rule," CEPR Discussion Papers 1998, C.E.P.R. Discussion Papers.
- Svensson, Lars E. O., 1998. "Inflation targeting as a monetary policy rule," CFS Working Paper Series 1998/16, Center for Financial Studies (CFS).
- Svensson, L.E.O., 1998. "Inflation Targeting as a Monetary Policy Rule," Papers 646, Stockholm - International Economic Studies.
- Lars E.O. Svensson, 1998. "Inflation Targeting as a Monetary Policy Rule," NBER Working Papers 6790, National Bureau of Economic Research, Inc.
- Svensson, Lars E.O., 1998. "Inflation Targeting as a Monetary Policy Rule," Seminar Papers 646, Stockholm University, Institute for International Economic Studies.
- Carmen Fernandez & Eduardo Ley & Mark F J Steel, 1998.
"Benchmark priors for Bayesian model averaging,"
ESE Discussion Papers
26, Edinburgh School of Economics, University of Edinburgh.
- Carmen Fernandez & Eduardo Ley & Mark F J Steel, 1998. "Benchmark priors for Bayesian model averaging," ESE Discussion Papers 66, Edinburgh School of Economics, University of Edinburgh.
- Carmen Fernandez & Eduardo Ley & Mark F.J. Steel, 1998. "Benchmark Priors for Bayesian Model Averaging," Econometrics 9804001, EconWPA, revised 31 Jul 1999.
When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:23:y:2004:i:7:p:479-496. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.