Forecasting Inflation Using Dynamic Model Averaging
Koop, Gary and Korobilis, Dimitris (2010) Forecasting Inflation Using Dynamic Model Averaging. Discussion paper. University of Strathclyde, Glasgow.
Preview |
Text.
Filename: Koop_Korobilis_DPIE_2011_forecasting_inflation_using_dynamic_model_averaging.pdf
Final Published Version Download (526kB)| Preview |
Abstract
We forecast quarterly US inflation based on the generalized Phillips curve using econometric methods which 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;-
-
Item type: Monograph(Discussion paper) ID code: 67936 Dates: DateEventNovember 2010PublishedNotes: Discussion paper. Subjects: Social Sciences > Economic Theory Department: Strathclyde Business School > Economics Depositing user: Pure Administrator Date deposited: 21 May 2019 15:15 Last modified: 16 Oct 2024 00:08 URI: https://strathprints.strath.ac.uk/id/eprint/67936