English, Article, Journal or magazine article edition: Forecasting Inflation Using Dynamic Model Averaging Gary Koop; Dimitris Korobilis

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Bookmark: http://trove.nla.gov.au/version/25467
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Forecasting Inflation Using Dynamic Model Averaging
Author
  • Gary Koop
  • Dimitris Korobilis
Physical Description
  • preprint
Notes
  • There is a large literature on forecasting inflation using the generalized Phillips curve (i.e. using forecasting models where inflation depends on past inflation, the unemployment rate and other predictors). The present paper extends this literature through the use of econometric methods which incorporate dynamic model averaging. These not only allow for coefficients to change over time (i.e. the marginal effect of a predictor for inflation can change), but also allows for the entire forecasting model to change over time (i.e. different sets of predictors can be relevant at different points in time). In an empirical exercise involving quarterly US inflation, we fi…nd that dynamic model averaging leads to substantial forecasting improvements over simple benchmark approaches (e.g. random walk or recursive OLS forecasts) and more sophisticated approaches such as those using time varying coefficient models.
  • Option Pricing; Modular Neural Networks; Non-parametric Methods
  • RePEc:rim:rimwps:wp34_09
Language
  • English
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