Superior Forecasts of the U.S. Unemployment Rate Using a Nonparametric Method
We use a nonlinear, nonparametric method to forecast the unemployment rates. We compare these forecasts to several linear and nonlinear parametric methods based on the work of Montgomery et al. (1998) and Carruth et al. (1998). Our main result is that, due to the nonlin-earity in the data generating process, the nonparametric method outperforms many other well-known models, even when these models use more information. This result holds for forecasts based on quarterly and on monthly data.
|Date of creation:||01 Jan 2002|
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"Unemployment Equilibria and Input Prices: Theory and Evidence from the United States,"
The Warwick Economics Research Paper Series (TWERPS)
496, University of Warwick, Department of Economics.
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Discussion Paper / Institute for Empirical Macroeconomics
14, Federal Reserve Bank of Minneapolis.
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