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Improving econometric forecasts by using subperiod data

Author

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  • Paul A. Anderson
  • Thomas M. Supel

Abstract

The method proposed here includes two innovations which should improve the accuracy of econometric forecasting. First, it replaces the subjective, judgmental adjustments commonly used with a more formal, objective econometric procedure. Second, it includes a methodology for testing the usefulness of subperiod data which forecasters often inspect when choosing intercept adjustments. A sample application to the MIT-Penn-SSRC Model demonstrates that the procedure is both feasible and potentially helpful in the context of a large macroeconometric model.

Suggested Citation

  • Paul A. Anderson & Thomas M. Supel, 1977. "Improving econometric forecasts by using subperiod data," Staff Report 21, Federal Reserve Bank of Minneapolis.
    • Handle: RePEc:fip:fedmsr:21
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    Keywords

    Forecasting;

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