Averaging Forecasts from Vars with Uncertain Instabilities

Averaging Forecasts from Vars with Uncertain Instabilities
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具有不确定不稳定性的变量的平均预测

DOI：
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
Michael W. McCracken
Michael W. McCracken
中科院分区：
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文献类型：
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作者：
Todd E. Clark;Michael W. McCracken

文献摘要

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最近的研究表明，产出、通货膨胀和利率的VAR模型可能倾向于不稳定。面对这种不稳定性，可以使用各种估计或预测方法来提高VAR预测的准确性。任何单一的不稳定性表征所固有的不确定性可能意味着将一系列方法的预测结合起来将提高预测的准确性。本文以美国的产出、价格和利率模型为重点，考察了将各种不稳定性模型结合起来，在改进基于实时数据的VAR预测方面的有效性。
Recent work suggests VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. The uncertainty inherent in any single representation of instability could mean that combining forecasts from a range of approaches will improve forecast accuracy. Focusing on models of U.S. output, prices, and interest rates, this paper examines the effectiveness of combining various models of instability in improving VAR forecasts made with real-time data.