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Combining density forecasts using focused scoring rules (replication data)
We investigate the added value of combining density forecasts focused on a specific region of support. We develop forecast combination schemes that assign weights to individual... -
Efficient estimation of Bayesian VARMAs with timeâvarying coefficients (repli...
Empirical work in macroeconometrics has been mostly restricted to using vector autoregressions (VARs), even though there are strong theoretical reasons to consider general...
