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...

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Bibliographic details
Main Author: Korobilis, Dimitris
Format: Publication
Language: English
Place of publication: 01.04.2015
Data of publication: 2015-04-01
Online Access: available in Bonn?
Database: OpenAIRE
Database information Databases - DBIS