C11

Bayesian Analysis

Similarities and Convergence in G7 Cycles

JEL codes: 
C11, E32
Version Date: 
Aug 2004
Abstract: 

This Paper examines the properties of G-7 cycles using a multicountry Bayesian panel VAR model with time variations, unit specific dynamics and cross country interdependences. We demonstrate the presence of a significant world cycle and show that country specific indicators play a much smaller role.

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Forecast Combination and Model Averaging Using Predictive Measures

JEL codes: 
C11, C51, C52, C53
Version Date: 
Sep 2005
Author/s: 
Abstract: 

We extend the standard approach to Bayesian forecast combination by forming the weights for the model averaged forecast from the predictive likelihood rather than the standard marginal likelihood. The use of predictive measures of fit offers greater protection against in-sample overfitting and improves forecast performance.

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