English, Article, Journal or magazine article edition: Out-of-Sample Forecasting of Unemployment Rates with Pooled STVECM Forecasts Costas Milas; Philip Rothman

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Bookmark: http://trove.nla.gov.au/version/145269
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Out-of-Sample Forecasting of Unemployment Rates with Pooled STVECM Forecasts
Author
  • Costas Milas
  • Philip Rothman
Physical Description
  • preprint
Notes
  • In this paper we use smooth transition vector error-correction models (STVECMs) in a simulated out-of-sample forecasting experiment for the unemployment rates of the four non-Euro G-7 countries, the U.S., U.K., Canada, and Japan. For the U.S., pooled forecasts constructed by taking the median value across the point forecasts generated by the linear and STVECM forecasts appear to perform better than the linear AR(p) benchmark more so during business cycle expansions. Such pooling also tends to lead to statistically significant forecast improvement for the U.K. ÒReality checksÓ of these results suggest that they do not stem from data snooping.
  • nonlinear, asymmetric, STVECM, pooled forecasts, Diebold-Mariano
  • RePEc:rim:rimwps:49-07
Language
  • English
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