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. (doi: 10.1111/j.1468-2354.2012.00704.x)

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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:Articles
Additional Information:Due to publisher embargo the full text of this item is unavailable in Enlighten for 24 months after publication.
Glasgow Author(s) Enlighten ID:Korompilis Magkas, Professor Dimitris
Authors: Koop, G., and Korobilis, D.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:International Economic Review
Publisher:John Wiley & Sons
ISSN (Online):1468-2354
Published Online:25 July 2012
Copyright Holders:Copyright © 2012 by the Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association
First Published:First published in International Economic Review 53(3):867-886
Publisher Policy:Reproduced in accordance with the copyright policy of the publisher

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