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Forecasting inflation using dynamic model averaging

Koop, G and Korobilis, D (2012) 'Forecasting inflation using dynamic model averaging.' International Economic Review, 53 (3). 867 - 886. ISSN 0020-6598

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Abstract

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. © (2012) by the Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Jim Jamieson
Date Deposited: 23 Nov 2016 12:27
Last Modified: 07 Aug 2019 21:15
URI: http://repository.essex.ac.uk/id/eprint/17955

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