11-003/4 - Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data

• Authors
  Monica Billio, University Ca'Foscari di Venezia; Roberto Casarin, University Ca'Foscari di Venezia; Francesco Ravazzolo, Norges Bank; Herman K. van Dijk, Erasmus University Rotterdam
• Publication date
  January 6, 2011

• Keywords
  Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
• JEL
  C11, C15, C53, E37