Forecasting using a random coefficient autoregression
Bibliographic Data
| ID | 21541618 |
|---|---|
| Authors | Philip Hans Franses (0000-0002-2364-7777, Tinbergen Institute, corresponding author), Dmitriy Knyazhitskiy (Tinbergen Institute) |
| Year | 2025 |
| Volume | 69 |
| Issue | 6 |
| Pages | 3001-3017 |
| Publication date | 2025-12-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Empirical Economics (JOURNAL) |
| Journal identifiers | ISSN: 0377-7332 • E-ISSN: 1435-8921 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1007/s00181-025-02824-y |
| OpenAlex | W4414466430 |
| Language | EN |
| References cited | 21 |
We consider point forecasts for economic time series using a basic random coefficient autoregression. We show using simulations that these point forecasts do not improve much on the point forecasts from fixed coefficient autoregressive models. Various empirical illustrations emphasize the simulations-based evidence
Autoregressive integrated moving average · Autoregressive model · Estimation · Time series · Vector autoregression · Advanced Statistical Methods and Models · Financial Risk and Volatility Modeling · Forecasting Techniques and Applications
| Citation velocity | historical |
|---|---|
| Highly cited | No |