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Djamil Yousefi

Forecasting Macroeconomic Variables by Using Model Averaging


Applied Econometrics - Time Series Analysis
2017. 52 S. 220 mm
Verlag/Jahr: AV AKADEMIKERVERLAG 2017
ISBN: 3-330-51706-9 (3330517069)
Neue ISBN: 978-3-330-51706-6 (9783330517066)

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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.
Yousefi, Djamil
Djamil Yousefi, B.Sc. Economics, Major in Quantitative Economics, University of Constance.