Forecasting Inflation Using Dynamic Model Averaging
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 coe¢ cients to change over time, but also allow for the entire forecasting model to change over time. We nd that dynamic model averaging leads to substantial forecasting improvements over simple benchmark regressions and more sophisticated approaches such as those using time varying coe¢ cient models. We also provide evidence on which sets of predictors are relevant for forecasting in each period.
|Date of creation:||2011|
|Date of revision:|
|Contact details of provider:|| Postal: 31 Buccleuch Place, EH8 9JT, Edinburgh|
Web page: http://www.sire.ac.uk
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dimitris Korobilis, 2013.
"Assessing the Transmission of Monetary Policy Using Time-varying Parameter Dynamic Factor Models-super-,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 75(2), pages 157-179, 04.
- Korobilis, Dimitris, 2009. "Assessing the transmission of monetary policy using dynamic factor models," MPRA Paper 27593, University Library of Munich, Germany, revised Nov 2010.
- Dimitris Korobilis, 2009. "Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models," Working Paper Series 35_09, The Rimini Centre for Economic Analysis.
- Dimitris Korompilis, 2009. "Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models," Working Papers 0914, University of Strathclyde Business School, Department of Economics.
- Carmen Fernandez & Eduardo Ley & Mark Steel, 2001.
"Model uncertainty in cross-country growth regressions,"
- Carmen Fernandez & Eduardo Ley & Mark F. J. Steel, 2001. "Model uncertainty in cross-country growth regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(5), pages 563-576.
- Carmen Fernandez & Eduardo Ley & Mark Steel, 1999. "Model uncertainty in cross-country growth regressions," Econometrics 9903003, EconWPA, revised 06 Oct 2001.
- Pesaran, M Hashem & Timmermann, Allan, 2000.
"A Recursive Modelling Approach to Predicting UK Stock Returns,"
Royal Economic Society, vol. 110(460), pages 159-91, January.
- Pesaran, M. H. & Timmermann, A., 1996. "A Recursive Modelling Approach to Predicting UK Stock Returns'," Cambridge Working Papers in Economics 9625, Faculty of Economics, University of Cambridge.
- Allan Timmermann & M. Hashem Pesaran, 1999. "A Recursive Modelling Approach to Predicting UK Stock Returns," FMG Discussion Papers dp322, Financial Markets Group.
- Andrew Atkeson & Lee E. Ohanian, 2001. "Are Phillips curves useful for forecasting inflation?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-11.
- Kim, C-J., 1991.
"Dynamic Linear Models with Markov-Switching,"
91-8, York (Canada) - Department of Economics.
- Andrew Ang & Geert Bekaert & Min Wei, 2005.
"Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?,"
NBER Working Papers
11538, National Bureau of Economic Research, Inc.
- Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
- Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.).
- Gary Koop & Simon Potter, 2004. "Forecasting in dynamic factor models using Bayesian model averaging," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 550-565, December.
- Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2009. "On the evolution of the monetary policy transmission mechanism," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 997-1017, April.
When requesting a correction, please mention this item's handle: RePEc:edn:sirdps:281. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gina Reddie)
If references are entirely missing, you can add them using this form.