Quantile regression forecasts of inflation under model uncertainty

This paper examines the performance of Bayesian model averaging (BMA) methods in a quantile regression model for inflation. Different predictors are allowed to affect different quantiles of the dependent variable. Based on real-time quarterly data for the US, we show that quantile regression BMA (QR...

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Bibliographic details
Main Author: Korobilis, Dimitris
Format: Journal Article
Language: English
Place of publication: Elsevier 01.01.2017
Data of publication: 2017-01
Bibliography: http://eprints.gla.ac.uk/128612/
10.1016/j.ijforecast.2016.07.005
Online Access: available in Bonn?
Database: University of Glasgow IR Enlighten
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