Focused Bayesian prediction

نویسندگان

چکیده

We propose a new method for conducting Bayesian prediction that delivers accurate predictions without correctly specifying the unknown true data generating process. A prior is defined over class of plausible predictive models. After observing data, we update to posterior these models, via criterion captures user-specified measure accuracy. Under regularity, this yields concentration onto element maximizes expectation accuracy measure. In series simulation experiments and empirical examples find notable gains in relative conventional likelihood-based prediction.

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ژورنال

عنوان ژورنال: Journal of Applied Econometrics

سال: 2021

ISSN: ['1099-1255', '0883-7252']

DOI: https://doi.org/10.1002/jae.2810