Bayesian model averaging

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RalphVerhoeks
Posts: 5
Joined: Wed Feb 22, 2012 8:25 am

Bayesian model averaging

Postby RalphVerhoeks » Thu Mar 08, 2012 9:32 am

Dear Eviews,

I have different forecasts (of exchange rates) which I want to combine by means of Bayesian model averaging. I do not manage to program this in Eviews, do you have an example program for me?

Thank you very much!

Ralph

startz
Non-normality and collinearity are NOT problems!
Posts: 2921
Joined: Wed Sep 17, 2008 2:25 pm

Re: Bayesian model averaging

Postby startz » Thu Mar 08, 2012 9:56 am

Bayesian Model Averaging is not built into EViews, but it depends what you want to do. Do you just want point estimates of forecasts, or do you need entire distributions? Have you already calculated the model probabilities?

RalphVerhoeks
Posts: 5
Joined: Wed Feb 22, 2012 8:25 am

Re: Bayesian model averaging

Postby RalphVerhoeks » Thu Mar 08, 2012 10:02 am

I just want to have point forecasts indeed, not the whole distributions. How should I calculate the model probabilities in Eviews? And then combine the forecasts in a Bayesian way?

Thanks again in advance!

startz
Non-normality and collinearity are NOT problems!
Posts: 2921
Joined: Wed Sep 17, 2008 2:25 pm

Re: Bayesian model averaging

Postby startz » Thu Mar 08, 2012 11:25 am

EViews isn't going to directly calculate the model probabilities. But you can use the Schwarz criterion to compute a reasonable large sample approximation for the posterior model odds. Then you multiply the forecast from each model by the model probability.

My favorite reference for this sort of stuff is Bayesian Econometrics, by Gary Koop.


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