FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING

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...

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Bibliographic details
Volume: 53
Main Author: Koop, Gary
Korobilis, Dimitris
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: Malden, USA Blackwell Publishing Inc 01.08.2012
Wiley Periodicals
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published in: International economic review (Philadelphia) Vol. 53; no. 3; pp. 867 - 886
ORCID: 0000-0002-6091-378X
0000-0001-9146-3008
Data of publication: 2012-08
ISSN: 0020-6598
1468-2354
EISSN: 1468-2354
Discipline: Economics
Bibliography: Manuscript received June 2009; revised June 2011.
Conference in Real‐Time Econometrics, the 6th EUROSTAT Colloquim on Modern Tools for Business Cycle Analysis, the European Central Bank, the Bundesbank, the Bank of England, and the Universities of Aarhus, Cambridge, Lancaster, Namur, and Queen Mary for helpful comments. This research was supported by the ESRC under grant RES‐062‐23‐2646. Both authors are Fellows at the Rimini Centre for Economic Analysis. Please address correspondence to: Gary Koop, Department of Economics, University of Strathclyde, 130 Rottenrow, Glasgow G4 0GE, UK. E‐mail
We would like to thank three referees, the editor of this journal, participants at the 20th EC
2
Gary.Koop@strath.ac.uk
.
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