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Citations for ""Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates""

by Min, C.K. & Zellner, A.

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  1. Eduardo Ley & Mark F.J. Steel, 2009. "On the effect of prior assumptions in Bayesian model averaging with applications to growth regression This article was published online on 30 March 2009. An error was subsequently identified. This not," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 651-674.
  2. Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.
  3. Jacobson, Tor & Karlsson, Sune, 2002. "Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach," Working Paper Series 138, Sveriges Riksbank (Central Bank of Sweden).
  4. Cairns, Andrew J. G., 2000. "A discussion of parameter and model uncertainty in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 313-330, December.
  5. Carmen Fernandez & Eduardo Ley & Mark Steel, 2001. "Bayesian Modelling of Catch in a Northwest Atlantic Fishery," Econometrics 0110003, EconWPA, revised 18 Nov 2001.
  6. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
  7. Jonathan H. Wright, 2003. "Bayesian Model Averaging and exchange rate forecasts," International Finance Discussion Papers 779, Board of Governors of the Federal Reserve System (U.S.).
  8. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
  9. Smith, Michael & Kohn, Robert, 2000. "Nonparametric seemingly unrelated regression," Journal of Econometrics, Elsevier, vol. 98(2), pages 257-281, October.
  10. Roberto León-González & Daniel Montolio, . "Growth, Convergence And Public Investment. A Bayesian Model Averaging Approach," Working Papers 13-03 Classification-JEL , Instituto de Estudios Fiscales.
  11. Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
  12. Altavilla, Carlo & Ciccarelli, Matteo, 2007. "Inflation Forecasts, monetary policy and unemployment dynamics: evidence from the US and the euro area," Working Paper Series 0725, European Central Bank.
  13. Hu, Michael Y. & Tsoukalas, Christos, 1999. "Combining conditional volatility forecasts using neural networks: an application to the EMS exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(4), pages 407-422, November.
  14. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005. "Reexamining the consumption-wealth relationship: the role of model uncertainty," Staff Reports 202, Federal Reserve Bank of New York.
  15. James H. Stock & Mark W. Watson, 1994. "Evidence on structural instability in macroeconomic times series relations," Working Paper Series, Macroeconomic Issues 94-13, Federal Reserve Bank of Chicago.
  16. Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," Working Papers 2010-04, Banco de México.
  17. Elliott, Graham & Timmermann, Allan, 2002. "Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions," University of California at San Diego, Economics Working Paper Series qt15r9t2q2, Department of Economics, UC San Diego.
  18. Hsiao, Cheng & Pesaran, M. Hashem, 2004. "Random Coefficient Panel Data Models," IZA Discussion Papers 1236, Institute for the Study of Labor (IZA).
  19. Rodney W. Strachan & Herman K. van Dijk, 2014. "Divergent Priors and Well Behaved Bayes Factors," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 6(1), pages 1-31, March.
  20. Poirier, Dale J., 1997. "Comparing and choosing between two models with a third model in the background," Journal of Econometrics, Elsevier, vol. 78(2), pages 139-151, June.
  21. Kazimi, Camilla & Brownstone, David, 1999. "Bootstrap confidence bands for shrinkage estimators," Journal of Econometrics, Elsevier, vol. 90(1), pages 99-127, May.
  22. Todd E. Clark & Michael W. McCracken, 2008. "Improving forecast accuracy by combining recursive and rolling forecasts," Working Papers 2008-028, Federal Reserve Bank of St. Louis.
  23. Kapetanios, George & Labhard, Vincent & Price, Simon, 2008. "Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 33-41, January.
  24. Phillips, Peter C. B., 1995. "Bayesian model selection and prediction with empirical applications," Journal of Econometrics, Elsevier, vol. 69(1), pages 289-331, September.
  25. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Papers 2012_15, Department of Economics, University of Venice "Ca' Foscari".
  26. Jana Eklund & Sune Karlsson, 2007. "Forecast Combination and Model Averaging Using Predictive Measures," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 329-363.
  27. Elkin Castaño & Luis Fernando Melo, . "Métodos de Combinación de Pronósticos: Una Aplicación a la Inflación Colombiana," Borradores de Economia 109, Banco de la Republica de Colombia.
  28. Jules Vanbinsbergen & Wouter H. Hueskes & Ralph Koijen & Evert B Vrugt, 2012. "Equity Yields," Working Papers 2012-007, Becker Friedman Institute for Research In Economics.
    • Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011. "Equity Yields," NBER Working Papers 17416, National Bureau of Economic Research, Inc.
  29. Kocięcki, Andrzej & Kolasa, Marcin & Rubaszek, Michał, 2012. "A Bayesian method of combining judgmental and model-based density forecasts," Economic Modelling, Elsevier, vol. 29(4), pages 1349-1355.
  30. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  31. Palm, Franz C., 1995. "Bayesian model selection and prediction with empirical applications comments," Journal of Econometrics, Elsevier, vol. 69(1), pages 333-335, September.
  32. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
  33. Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio, 2014. "Beta-product dependent Pitman–Yor processes for Bayesian inference," Journal of Econometrics, Elsevier, vol. 180(1), pages 49-72.
  34. Wang, Hao, 2010. "Sparse seemingly unrelated regression modelling: Applications in finance and econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2866-2877, November.
  35. Hansen, Bruce E., 2008. "Least-squares forecast averaging," Journal of Econometrics, Elsevier, vol. 146(2), pages 342-350, October.
  36. Ramos Lobo, R. & Clar López, M. & Suriñach Caralt, J., 2000. "Comparación de la capacidad predictiva de los modelos de coeficientes fijos frente a variables en los modelos econométricos regionales: un análisis para Cataluña," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 15, pages 125-162, Agosto.
  37. Negri­n, Miguel A. & Vázquez-Polo, Francisco-José, 2008. "Incorporating model uncertainty in cost-effectiveness analysis: A Bayesian model averaging approach," Journal of Health Economics, Elsevier, vol. 27(5), pages 1250-1259, September.
  38. Koop, G. & van Dijk, H.K., 1999. "Testing for integration using evolving trend and seasonal models: A Bayesian approach," Econometric Institute Research Papers EI 9934/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  39. Ley, Eduardo & Steel, Mark F.J., 2008. "On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression," MPRA Paper 6773, University Library of Munich, Germany, revised 06 Jan 2008.
  40. Fernández, C. & Ley, E. & Steel, M.F.J., 1997. "Statistical Modelling of Fishing Activities in the North Atlantic," Discussion Paper 1997-111, Tilburg University, Center for Economic Research.
  41. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics.
  42. Marsh, L.C.Lawrence C. & Zellner, Arnold, 2004. "Bayesian solutions to graduate admissions and related selection problems," Journal of Econometrics, Elsevier, vol. 121(1-2), pages 405-426.
  43. Clark, Todd E. & McCracken, Michael W., 2005. "The power of tests of predictive ability in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 124(1), pages 1-31, January.
  44. Carmen Fernández & Eduardo Ley & Mark F. J. Steel, . "Benchmark priors for Bayesian Model averaging," Working Papers 98-06, FEDEA.
  45. Del Negro, Marco & Hasegawa, Raiden B. & Schorfheide, Frank, 2014. "Dynamic prediction pools: an investigation of financial frictions and forecasting performance," Staff Reports 695, Federal Reserve Bank of New York.
  46. de Pooter, M.D. & Ravazzolo, F. & Segers, R. & van Dijk, H.K., 2008. "Bayesian near-boundary analysis in basic macroeconomic time series models," Econometric Institute Research Papers EI 2008-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  47. Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "Testing and Estimating Persistence in Canadian Unemployment," Econometrics 0311004, EconWPA.
  48. Drechsel, Katja & Maurin, Laurent, 2008. "Flow of conjunctural information and forecast of euro area economic activity," Working Paper Series 0925, European Central Bank.
  49. Arnold Zellner, 2003. "Some Recent Developments in Econometric Inference," Econometric Reviews, Taylor & Francis Journals, vol. 22(2), pages 203-215.
  50. Gary Koop & Simon Potter, 2003. "Forecasting in Large Macroeconomic Panels using Bayesian Model Averaging," Discussion Papers in Economics 04/16, Department of Economics, University of Leicester.
  51. Liu, Chu-An & Kuo, Biing-Shen, 2014. "Model Averaging in Predictive Regressions," MPRA Paper 54198, University Library of Munich, Germany.
  52. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
  53. Chun Liu & John M Maheu, 2008. "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers tecipa-313, University of Toronto, Department of Economics.
  54. David Jamieson Bolder & Yuliya Romanyuk, 2008. "Combining Canadian Interest-Rate Forecasts," Working Papers 08-34, Bank of Canada.
  55. Fildes, Robert & Wei, Yingqi & Ismail, Suzilah, 2011. "Evaluating the forecasting performance of econometric models of air passenger traffic flows using multiple error measures," International Journal of Forecasting, Elsevier, vol. 27(3), pages 902-922.
  56. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek, 2009. "Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights," Tinbergen Institute Discussion Papers 09-061/4, Tinbergen Institute.
  57. Pena, Daniel & Poncela, Pilar, 2004. "Forecasting with nonstationary dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 291-321, April.
  58. Jonathan H. Wright, 2009. "Forecasting US inflation by Bayesian model averaging," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(2), pages 131-144.
  59. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
  60. T. Teräsvirta & C. Lin, 1995. "Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters," SFB 373 Discussion Papers 1995,28, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  61. Corradi, Valentina & Swanson, Norman R. & Olivetti, Claudia, 2001. "Predictive ability with cointegrated variables," Journal of Econometrics, Elsevier, vol. 104(2), pages 315-358, September.
  62. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek, 2009. "Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights," Tinbergen Institute Discussion Papers 09-061/4, Tinbergen Institute.
  63. Jesus Crespo-Cuaresma & Neil Foster-McGregor & Robert Stehrer, 2009. "The Determinants of Regional Economic Growth by Quantile," wiiw Working Papers 54, The Vienna Institute for International Economic Studies, wiiw.
  64. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version," PIER Working Paper Archive 13-061, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 03 Sep 2013.
  65. repec:ebl:ecbull:v:4:y:2006:i:36:p:1-7 is not listed on IDEAS
  66. Shively, Thomas S. & Kohn, Robert, 1997. "A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 39-52.
  67. Ruiz, Edilberto & Nieto, Fabio H., 2000. "A note on linear combination of predictors," Statistics & Probability Letters, Elsevier, vol. 47(4), pages 351-356, May.
  68. Arie Preminger & Uri Ben-Zion & David Wettstein, 2006. "Extended switching regression models with time-varying probabilities for combining forecasts," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 455-472.
  69. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
  70. Chib, Siddhartha & Greenberg, Edward, 1995. "Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models," Journal of Econometrics, Elsevier, vol. 68(2), pages 339-360, August.
  71. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach," PIER Working Paper Archive 12-046, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  72. Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2003. "An algorithm to estimate time-varying parameter SURE models under different types of restriction," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 363-383, March.
  73. Kim, Kun Ho, 2011. "Density forecasting through disaggregation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 394-412, April.
  74. Andersson, Michael K & Karlsson, Sune, 2007. "Bayesian forecast combination for VAR models," Working Paper Series 216, Sveriges Riksbank (Central Bank of Sweden).
  75. van Binsbergen, Jules & Hueskes, Wouter & Koijen, Ralph & Vrugt, Evert, 2013. "Equity yields," Journal of Financial Economics, Elsevier, vol. 110(3), pages 503-519.
    • Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011. "Equity Yields," NBER Working Papers 17416, National Bureau of Economic Research, Inc.
  76. O. Mikhail & C. J. Eberwein & J. Handa, 2006. "Estimating persistence in Canadian unemployment: evidence from a Bayesian ARFIMA," Applied Economics, Taylor & Francis Journals, vol. 38(15), pages 1809-1819.
  77. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.
  78. Ando, Tomohiro & Tsay, Ruey, 2010. "Predictive likelihood for Bayesian model selection and averaging," International Journal of Forecasting, Elsevier, vol. 26(4), pages 744-763, October.
  79. Hu, Michael Y. & Tsoukalas, Christos, 2003. "Explaining consumer choice through neural networks: The stacked generalization approach," European Journal of Operational Research, Elsevier, vol. 146(3), pages 650-660, May.
  80. Elkin Castaño Vélez & Luis Fernando Melo Velandia, 2000. "Metodos de combinacion de pronosticos: una aplicacion a la inflacion," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 52, pages 113-165, Enero Jun.
  81. Wei, Xiaoqiao & Yang, Yuhong, 2012. "Robust forecast combinations," Journal of Econometrics, Elsevier, vol. 166(2), pages 224-236.
  82. Lillie Lam & Laurence Fung & Ip-wing Yu, 2008. "Comparing Forecast Performance of Exchange Rate Models," Working Papers 0808, Hong Kong Monetary Authority.
  83. Andrzej Kociecki & Marcin Kolasa & Michal Rubaszek, 2011. "Predictivistic Bayesian Forecasting System," National Bank of Poland Working Papers 87, National Bank of Poland, Economic Institute.
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