Forecasting Macroeconomic Variables by Using Model Averaging: Applied Econometrics - Time Series Analysis - Brossura

Yousefi, Djamil

 
9783330517066: Forecasting Macroeconomic Variables by Using Model Averaging: Applied Econometrics - Time Series Analysis

Sinossi

Are the forecasting results of model averaging more accurate, than the results provided by univariate models? This book shall provide an answer to this question by comparing econometric forecasting models for US macroeconomic variables. The work is based on Clark & McCracken´s paper "Averaging forecasts from VARs with uncertain instabilities", published 2010 in the Journal of Applied Econometrics.

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