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...
|Main Author:||Dimitris, Korobilis|
|Place of publication:||
|Data of publication:||2013-01-01|
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
|Online Access:||available in Bonn?|
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