Arbeitspapier
Assessing forecast uncertainties in a VECX model for Switzerland: an exercise in forecast combination across models and observation windows
We investigate the effect of forecast uncertainty in a cointegrating vector error correction model for Switzerland. Forecast uncertainty is evaluated in three different dimensions. First, we investigate the effect on forecasting performance of averaging over forecasts from different models. Second, we look at different estimation windows. We find that averaging over estimation windows is at least as effective as averaging over different models and both complement each other. Third, we explore whether using weighting schemes from the machine learning literature improves the average forecast. Compared to equal weights the effect of the weighting scheme on forecast accuracy is small in our application.
- Sprache
-
Englisch
- Erschienen in
-
Series: IZA Discussion Papers ; No. 3071
- Klassifikation
-
Wirtschaft
- Thema
-
Bayesian model averaging
choice of observation window
long-run structural vector autoregression
Zeitreihenanalyse
Prognoseverfahren
Bayes-Statistik
VAR-Modell
Schweiz
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Assenmacher-Wesche, Katrin
Pesaran, Mohammad Hashem
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for the Study of Labor (IZA)
- (wo)
-
Bonn
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Assenmacher-Wesche, Katrin
- Pesaran, Mohammad Hashem
- Institute for the Study of Labor (IZA)
Entstanden
- 2007
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