Chapter 1 Bayesian Forecasting

John Geweke, Charles H. Whiteman

Research output: Chapter in Book/Report/Conference proceedingChapter

45 Citations (Scopus)

Abstract

Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general requires explicit formulation of a model, and conditioning on known quantities, in order to draw inferences about unknown ones. In Bayesian forecasting, one simply takes a subset of the unknown quantities to be future values of some variables of interest. This chapter presents the principles of Bayesian forecasting, and describes recent advances in computational capabilities for applying them that have dramatically expanded the scope of applicability of the Bayesian approach. It describes historical developments and the analytic compromises that were necessary prior to recent developments, the application of the new procedures in a variety of examples, and reports on two long-term Bayesian forecasting exercises.

Original languageEnglish (US)
Title of host publicationHandbook of Economic Forecasting
EditorsG. Elliott, C.W.J. Granger, Granger Timmermann
Pages3-80
Number of pages78
DOIs
StatePublished - Dec 1 2006

Publication series

NameHandbook of Economic Forecasting
Volume1
ISSN (Print)1574-0706

Fingerprint

Bayesian forecasting
Bayesian approach
Inference
Compromise
Conditioning
Exercise
Natural products

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

Geweke, J., & Whiteman, C. H. (2006). Chapter 1 Bayesian Forecasting. In G. Elliott, C. W. J. Granger, & G. Timmermann (Eds.), Handbook of Economic Forecasting (pp. 3-80). (Handbook of Economic Forecasting; Vol. 1). https://doi.org/10.1016/S1574-0706(05)01001-3
Geweke, John ; Whiteman, Charles H. / Chapter 1 Bayesian Forecasting. Handbook of Economic Forecasting. editor / G. Elliott ; C.W.J. Granger ; Granger Timmermann. 2006. pp. 3-80 (Handbook of Economic Forecasting).
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Geweke, J & Whiteman, CH 2006, Chapter 1 Bayesian Forecasting. in G Elliott, CWJ Granger & G Timmermann (eds), Handbook of Economic Forecasting. Handbook of Economic Forecasting, vol. 1, pp. 3-80. https://doi.org/10.1016/S1574-0706(05)01001-3

Chapter 1 Bayesian Forecasting. / Geweke, John; Whiteman, Charles H.

Handbook of Economic Forecasting. ed. / G. Elliott; C.W.J. Granger; Granger Timmermann. 2006. p. 3-80 (Handbook of Economic Forecasting; Vol. 1).

Research output: Chapter in Book/Report/Conference proceedingChapter

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Geweke J, Whiteman CH. Chapter 1 Bayesian Forecasting. In Elliott G, Granger CWJ, Timmermann G, editors, Handbook of Economic Forecasting. 2006. p. 3-80. (Handbook of Economic Forecasting). https://doi.org/10.1016/S1574-0706(05)01001-3