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Mind your ps and qs! Improving ARMA forecasts with RBC priors

Article ID Journal Published Year Pages File Type
5062427 Economics Letters 2007 7 Pages PDF
Abstract

We use an RBC model to help inform ARMA parameters for univariate out-of-sample forecasting of US output. Bayesian estimation methods yield an interpretable structural model with forecasting performance at least competitive with ARMA models estimated with standard techniques.

Keywords
C53ARMAC22RBCC11Model selectionForecasting
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Mind your ps and qs! Improving ARMA forecasts with RBC priors
Authors
Kirdan Lees, Troy Matheson,
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Journal
Economics Letters
Journal: Economics Letters
Related Categories
C53
ARMA
C22
RBC
C11
Model selection
Forecasting
Economics and Econometrics
Economics, Econometrics and Finance (General)
Finance
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