Forecasting Thai inflation from univariate Bayesian regression perspective
从单变量贝叶斯回归视角预测泰国通胀
This study investigates the forecasting performance of Bayesian shrinkage priors in predicting Thai inflation in a univariate setup, with a particular interest in comparing those more advance shrinkage prior to a likelihood dominated/noninformative prior. Our forecasting exercises are evaluated using Root Mean Squared Error (RMSE), Quantile-Weighted Continuous Ranked Probability Scores (qwCRPS), and Log Predictive Likelihood (LPL). The empirical results reveal several…