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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). pp. 867-886. ISSN 0020-6598

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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.

Item Type: Article
Additional Information: Source info: International Economic Review, Vol. 53, Issue 3, pp. 867-886, 2012
Uncontrolled Keywords: E31; E37; C11; C53; Option Pricing; Modular Neural Networks; Non-parametric Methods
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 23 Nov 2016 12:27
Last Modified: 06 Jan 2022 14:41

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