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- Title
Forecasting using bayesian and information theoretic model averaging: an application to UK inflation.
- Authors
Kapetanios, George; Labhard, Vincent; Price, Simon
- Abstract
Discusses the application of economic forecasting using Bayesian and information theoretic model averaging on the inflation in Great Britain. Justification for combining forecasts; Assessment of the performance of information theoretic and other model averaging techniques by means of a Monte Carlo study; Benefits of model averaging techniques to the information theoretic weights performing very well.
- Subjects
UNITED Kingdom; ECONOMIC forecasting; BAYESIAN analysis; PRICE inflation; FINANCE
- Publication
Bank of England Quarterly Bulletin, 2005, Vol 45, Issue 3, p375
- ISSN
0005-5166
- Publication type
Article