Finding good predictors for inflation : A Bayesian Model Averaging Approach ∗

@inproceedings{Jacobson2002FindingGP,
  title={Finding good predictors for inflation : A Bayesian Model Averaging Approach ∗},
  author={Tor Jacobson and Sune Karlsson and Sveriges Riksbank Working},
  year={2002}
}
We consider a Bayesian Model Averaging approach for the purpose of forecasting Swedish consumer price index inflation using a large set of potential indicators, comprising some 80 quarterly time series covering a wide spectrum of Swedish economic activity. The paper demonstrates how to efficiently and systematically evaluate (almost) all possible models that these indicators in combination can give rise to. The results, in terms of out-of-sample-performance, suggest that Bayesian Model… CONTINUE READING
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