Forecasting macroeconomic time series with locally adaptive signal extraction
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- Giordani, Paolo & Villani, Mattias, 2009. "Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction," Working Paper Series 234, Sveriges Riksbank (Central Bank of Sweden).
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"Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility,"
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More about this item
Keywords
Bayesian inference Forecast evaluation Regime switching State space modeling Dynamic mixture models;JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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