Forecasting with Factor Models: A Bayesian Model Averaging Perspective

We use Bayesian factor regression models to construct a financial conditions index (FCI) for the U.S. Within this context we develop Bayesian model averaging methods that allow the data to select which variables should be included in the FCI or not. We also examine the importance of different source...

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Bibliographic details
Main Author: Dimitris, Korobilis
Format: Publication
Language: English
Place of publication: 01.01.2013
Data of publication: 2013-01-01
Subjects:
Online Access: available in Bonn?
Database: OpenAIRE
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