Optimizing Time-series Forecasts for Inflation and Interest Rates Using Simulation and Model Averaging
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- Adusei Jumah & Robert M. Kunst, 2016. "Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging," Applied Economics, Taylor & Francis Journals, vol. 48(45), pages 4366-4378, September.
References listed on IDEAS
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More about this item
KeywordsThreshold cointegration; Parametric bootstrap; Model averaging;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-12-01 (All new papers)
- NEP-CBA-2008-12-01 (Central Banking)
- NEP-ECM-2008-12-01 (Econometrics)
- NEP-ETS-2008-12-01 (Econometric Time Series)
- NEP-FOR-2008-12-01 (Forecasting)
- NEP-MAC-2008-12-01 (Macroeconomics)
- NEP-MON-2008-12-01 (Monetary Economics)
- NEP-ORE-2008-12-01 (Operations Research)
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