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Comparing Multi-State Kalman Filter and ARIMA forecasts: an application to the money multiplier

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Author Info
R. W. Hafer
Scott E. Hein
Clemens J.M. Kool

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Abstract

This paper derives one-month ahead forecasts of the money (M I) multiplier using the Multi-State Kalman Filter and Box-Jenkins ARIMA methods. A comparison of the forecasts far the period 1980-82 reveals that the Multi-State Kalman Filter procedure was generally superior to the ARIMA procedure In terms of most summary statistics. The superiority is traced to the turbulent period of 1980-81. This paper also compares aggregate and component forecasts of the multiplier. The aggregate Multi-State Kalman Filter was the most accurate in predicting the one-month ahead money multiplier.

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Paper provided by Federal Reserve Bank of St. Louis in its series Working Papers with number 1985-001.

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Date of creation: 1985
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Handle: RePEc:fip:fedlwp:1985-001

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  1. Johannes, James M. & Rasche, Robert H., 1979. "Predicting the money multiplier," Journal of Monetary Economics, Elsevier, vol. 5(3), pages 301-325, July. [Downloadable!] (restricted)
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