Bayesian Predictive Synthesis

BPS: Dynamic Bayesian Predictive Synthesis

Ken McAlinn & Mike West

BPS: Univariate time series forecasting

Key paper: Dynamic Bayesian predictive synthesis in time series forecasting, Journal of Econometrics, 210:155-169, 2019; original 2016 tech report arXived here.
Code: Matlab code and data for univariate dynamic BPS models as described and that runs an example detailed in the above paper.

mBPS: Multivariate time series forecasting

Key paper, with co-authors Knut Are Aastveit and Jouchi Nakajima: Multivariate Bayesian predictive synthesis in macroeconomic forecasting, Journal of the American Statistical Association, first published online: 12th September 2019; original 2017 tech report arXived here.
Code: Matlab code and data with readme, linked to an example detailed in the above paper and per the JASA ACS Reproducibility Initiative.

This software is made freely available to any interested user. The authors can provide no support nor assistance with implementations beyond the example in the code, nor extensions of the code for other purposes. The downloads have been tested to confirm all details are operational as described.

It is understood by the user that neither the authors nor Duke University bear any responsibility nor assume any liability for any end-use of this software. It is expected that appropriate credit/acknowledgment be given should the software be included as an element in other software development or in publications.

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