Forecasting inflation using dynamic model averaging
Koop, Gary and Korobilis, Dimitris (2012) Forecasting inflation using dynamic model averaging. International Economic Review, 53 (3). 867–886. ISSN 0020-6598 (https://doi.org/10.1111/j.1468-2354.2012.00704.x)
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We forecast quarterly US inflation based on the generalized Phillips curve using econometric methods that incorporate dynamic model averaging. These methods not only allow for coefficients to change over time, but also allow for the entire forecasting model to change over time. We find that dynamic model averaging leads to substantial forecasting improvements over simple benchmark regressions and more sophisticated approaches such as those using time varying coefficient models. We also provide evidence on which sets of predictors are relevant for forecasting in each period.
ORCID iDs
Koop, Gary ORCID: https://orcid.org/0000-0002-6091-378X and Korobilis, Dimitris;-
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Item type: Article ID code: 42658 Dates: DateEventAugust 2012Published25 July 2012Published OnlineSubjects: Social Sciences > Economic Theory Department: Strathclyde Business School > Economics Depositing user: Pure Administrator Date deposited: 24 Jan 2013 05:20 Last modified: 30 Nov 2024 23:26 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/42658