WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia
Two model averaging approaches are used and compared in estimating and forecasting dynamic factor models, the well-known Bayesian model averaging (BMA) and the recently developed weighted average least squares (WALS). Both methods propose to combine frequentist estimators using Bayesian weights....
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Econometric Research Association
2012-05-01
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| Series: | International Econometric Review |
| Subjects: | |
| Online Access: | http://www.era.org.tr/makaleler/3050061.pdf |