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Pooling Econometric Models for Prediction and Decision Making

Funding: 2011: $188,847
2012: $178,847
2013: $188,847

Funding or Partner Organisation: Australian Research Council (ARC Discovery Projects)

Start year: 2011

Summary: The project develops methods for combining econometric models with the goal of improving prediction. It applies these methods to macroeconomic models used to improve monetary policy and to asset return models used to improve financial risk management.

Keywords: Model combination, decision making, macroeconomic forecasting, econometric models, Bayesian, Prediction

FOR Codes: Statistical Theory, Expanding Knowledge in Economics, Expanding Knowledge in the Mathematical Sciences, Monetary Policy, Economic Models and Forecasting, Econometric and Statistical Methods