| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5327 |
| DP5327 Guide to Reform of Higher Education: A European Perspective | |
| Frederick van der Ploeg; Bas Jacobs | |
| 发表日期 | 2005-10-31 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | 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. For the predictive likelihood we show analytically that the forecast weights have good large and small sample properties. This is confirmed in a simulation study and an application to forecasts of the Swedish inflation rate where forecast combination using the predictive likelihood outperforms standard Bayesian model averaging using the marginal likelihood. |
| 主题 | International Macroeconomics |
| 关键词 | Bayesian model averaging Predictive likelihood Partial bayes factor Training sample Inflation rate |
| URL | https://cepr.org/publications/dp5327 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534191 |
| 推荐引用方式 GB/T 7714 | Frederick van der Ploeg,Bas Jacobs. DP5327 Guide to Reform of Higher Education: A European Perspective. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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