Predicting relative forecasting performance : An empirical investigation

Show simple item record

dc.contributor Bank of Finland
dc.contributor.author Granziera, Eleonora
dc.contributor.author Sekhposyan, Tatevik
dc.date.accessioned 2018-11-07T13:54:13Z
dc.date.available 2018-11-07T13:54:13Z
dc.date.issued 2018
dc.identifier.isbn 978-952-323-248-8
dc.identifier.issn 1456-6184
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/15951
dc.description.abstract The relative performance of forecasting models changes over time. This empirical observation raises two questions: is the relative performance itself predictable? If so, can it be exploited to improve forecast accuracy? We address these questions by evaluating the predictive ability of a wide range of economic variables for two key US macroeconomic aggregates, industrial production and inflation, relative to simple benchmarks. We find that business indicators, financial conditions, uncertainty as well as measures of past relative performance are generally useful for explaining the relative forecasting performance of the models. We further conduct a pseudo-real-time forecasting exercise, where we use the information about the conditional performance for model selection and model averaging. The newly proposed strategies deliver sizable improvements over competitive benchmark models and commonly used combination schemes. Gains are larger when model selection and averaging are based on financial conditions as well as past performance measured at the forecast origin date.
dc.format.extent 43
dc.language.iso ENG
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject Yhdysvallat
dc.subject.other Conditional Predictive Ability
dc.subject.other Model Selection
dc.subject.other Model Averaging
dc.subject.other Inflation Forecasts
dc.subject.other Output Growth Forecasts
dc.title Predicting relative forecasting performance : An empirical investigation
dc.type Paper
dc.identifier.urn URN:NBN:fi:bof-201811072123
dc.subject.jel C22
dc.subject.jel C52
dc.subject.jel C53
dc.series.name Bank of Finland Research Discussion Papers
dc.series.number 23/2018
dc.date.publication 8.11.2018
dc.subject.yso ennusteet
dc.subject.yso taloudelliset mallit
dc.subject.yso inflaatio
dc.subject.yso teollisuustuotanto
dc.description.publication Also in International Journal of Forecasting 35 ; 2019 https://doi.org/10.1016/j.ijforecast.2019.01.010
bof-internal.includedInCRIS 1
dc.type.okm D4

Files in this item

Total number of downloads: Loading...

Files Size Format View
BoF_DP_1823.pdf 1.084Mb PDF View/Open

This item appears in the following Collection(s)

Show simple item record