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Forecasting in dynamic factor models using Bayesian model averaging

Koop, Gary and Potter, Simon

Forecasting in dynamic factor models using Bayesian model averaging J5709 2004 - 2004 - 550-565 V. 07 Issue. 2

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Bayesian model averaging;Diffusion index;Markov chain Monte Carlo model composition;Reference prior;

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