Bayesian averaging, prediction and nonnested model selection
Han Hong, Bruce Preston
Journal of Econometrics | ELSEVIER SCIENCE SA | Published : 2012
We thank Raffaella Giacomini, Jin Hahn, Bernard Salanie, Barbara Rossi, Frank Schorfheide and Chris Sims, the editors, two anonymous referees, and participants of the SETA conference in Seoul, Korea for comments. We also thank the NSF and the Sloan Foundation for generous research support. The usual caveat applies.