Selecting predictors by using Bayesian model averaging in bridge models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Claudia Foroni & Massimiliano Marcellino, 2013.
"A survey of econometric methods for mixed-frequency data,"
2013/06, Norges Bank.
- Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Economics Working Papers ECO2013/02, European University Institute.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015.
"Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility,"
Journal of the Royal Statistical Society Series A,
Royal Statistical Society, vol. 178(4), pages 837-862, October.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012. "Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility," Working Paper 1227, Federal Reserve Bank of Cleveland.
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- C. Marsilli, 2014. "Variable Selection in Predictive MIDAS Models," Working papers 520, Banque de France.
More about this item
Keywordsbusiness cycle analysis; forecasting; Bayesian model averaging; bridge models.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-23 (All new papers)
- NEP-ECM-2012-07-23 (Econometrics)
- NEP-FOR-2012-07-23 (Forecasting)
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