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FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*
Open accessAbstract
We forecast quarterly US inflation based on the generalized Phillips curve using econometric methods that incorporate dynamic model averaging. These methods not only allow for coefficients to change over time, but also allow for the entire forecasting model to change over time. We find that dynamic model averaging leads to substantial forecasting improvements over simple benchmark regressions and more sophisticated approaches such as those using time varying coefficient models. We also provide evidence on which sets of predictors are relevant for forecasting in each period.
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Citations
Cited by
A new index of financial conditions
Koop, G., & Korobilis, D. (2014) · European Economic Review · doi:10.1016/j.euroecorev.2014.07.002 · Cited by 707
Self-citationModel Averaging and Its Use in Economics
Steel, M. F. J. (2020) · Journal of Economic Literature · doi:10.1257/jel.20191385 · Cited by 321
Forecast combinations: An over 50-year review
Wang, X., Hyndman, R. J., Li, F., & Kang, Y. (2023) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2022.11.005 · Cited by 280
Are green bonds a different asset class? Evidence from time-frequency connectedness analysis
Ferrer, R., Shahzad, S. J. H., & Soriano, P. (2021) · Journal of Cleaner Production · doi:10.1016/j.jclepro.2021.125988 · Cited by 253
Politics matters: Regulatory events as catalysts for price formation under cap-and-trade
Koch, N., Grosjean, G., Fuss, S., & Edenhofer, O. (2016) · Journal of Environmental Economics and Management · doi:10.1016/j.jeem.2016.03.004 · Cited by 135
Metadata
- Authors
- Koop, G., & Korobilis, D.
- Venue
- International Economic Review
- Publisher
- Wiley
- Published
- 2012-07-25
- Volume
- 53
- Issue
- 3
- Pages
- 867-886
- ISSN
- 0020-6598 (ISSN-L)
- 1468-2354
- OpenAlex
- W3123039549
- Cited by
- 390
- References
- 0
- FWCI
- 27.46
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Koop, G., & Korobilis, D. (2012). FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*. International Economic Review. https://doi.org/10.1111/j.1468-2354.2012.00704.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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