Forecasting in dynamic factor models using Bayesian model averaging

Koop, Gary, Potter, Simon . The Econometrics Journal 2004. 7 (2) :550-565

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Bibtex

@article{CIS-191484,
  Author = {Koop, Gary and Potter, Simon},
  Title = {Forecasting in dynamic factor models using Bayesian model averaging},
  Journal = {The Econometrics Journal},
  Volume = {7},
  Number = {2},
  Year = {2004},
  Pages = {550--565},
  Keywords = {Reference prior, Bayesian model averaging, MARKOV CHAIN MONTE CARLO MODEL COMPOSITION, Diffusion index}
}

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