Quantile forecasts of inflation under model uncertainty
Bayesian model averaging (BMA) methods are regularly used to deal with model uncertainty in regression models. This paper shows how to introduce Bayesian model averaging methods in quantile regressions, and allow for different predictors to affect different quantiles of the dependent variable. I sho...
|Main Author:||Korobilis, Dimitris|
|Place of publication:||
|Data of publication:||2015-04-01|
|Online Access:||available in Bonn?|
|Database:||OpenAIRE (Open Access)
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