期刊
REVIEW OF ECONOMICS AND STATISTICS
卷 99, 期 5, 页码 912-925出版社
MIT PRESS
DOI: 10.1162/REST_a_00655
关键词
-
资金
- Australian Research Council [DP110104732]
We establish methods that improve the predictions of macroeconometric modelsdynamic factor models, dynamic stochastic general equilibrium models, and vector autoregressionsusing a quarterly U.S. data set. We measure prediction quality with one-step-ahead probability densities assigned in real time. Two steps lead to substantial improvements: (a) the use of full Bayesian predictive distributions rather than conditioning on the posterior mode for parameters and (b) the use of an equally weighted pool.
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