| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11355 |
| DP11355 Forecasting Macroeconomic Variables under Model Instability | |
| Henry Allan Timmermann; Davide Pettenuzzo | |
| 发表日期 | 2016-06-26 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We compare different approaches to accounting for parameter instability in the context of macroeconomic forecasting models that assume either small, frequent changes versus models whose parameters exhibit large, rare changes. An empirical out-of-sample forecasting exercise for U.S. GDP growth and inflation suggests that models that allow for parameter instability generate more accurate density forecasts than constant-parameter models although they fail to produce better point forecasts. Model combinations deliver similar gains in predictive performance although they fail to improve on the predictive accuracy of the single best model which is a specification that allows for time-varying parameters and stochastic volatility. |
| 主题 | Financial Economics |
| 关键词 | Time-varying parameters Regime switching stochastic volatility Gdp growth inflation |
| URL | https://cepr.org/publications/dp11355 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540170 |
| 推荐引用方式 GB/T 7714 | Henry Allan Timmermann,Davide Pettenuzzo. DP11355 Forecasting Macroeconomic Variables under Model Instability. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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