The structure of a machine-built forecasting system
AbstractThis paper describes the structure of a rule-based econometric forecasting system designed to produce multi-equation econometric models. The paper describes the functioning of a working system which builds the econometric forecasting equation for each series submitted and produces forecasts of the series. The system employs information criteria and cross validation in the equation building process, and it uses Bayesian model averaging to combine forecasts of individual series. The system outperforms standard benchmarks for a variety of national economic datasets.
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Bibliographic InfoPaper provided by Federal Reserve Bank of Dallas in its series Occasional Papers with number 13-1.
Date of creation: 2013
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-01-10 (All new papers)
- NEP-CMP-2014-01-10 (Computational Economics)
- NEP-ECM-2014-01-10 (Econometrics)
- NEP-FOR-2014-01-10 (Forecasting)
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