Forecasting Inflation Using Dynamic Model Averaging

Gary Koop, Dimitris Korobilis
2009 Social Science Research Network  
We forecast quarterly US in ‡ation based on the generalized Phillips curve using econometric methods which incorporate dynamic model averaging. These methods not only allow for coe¢ cients to change over time, but also allow for the entire forecasting model to change over time. We ...nd that dynamic model averaging leads to substantial forecasting improvements over simple benchmark regressions and more sophisticated approaches such as those using time varying coe¢ cient models. We also provide
more » ... vidence on which sets of predictors are relevant for forecasting in each period.
doi:10.2139/ssrn.1461151 fatcat:qr3bze2lwjdknhyttaskgcj74u