Bayesian model averaging

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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How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation

JEL codes: 
C22, C52, C53
Version Date: 
Sep 2005
Author/s: 
Abstract: 

This paper explores the usefulness of bagging methods in forecasting economic time series from linear multiple regression models. We focus on the widely studied question of whether the inclusion of indicators of real economic activity lowers the prediction mean-squared error of forecast models of US consumer price inflation.

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