Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7408393 | International Journal of Forecasting | 2015 | 14 Pages |
Abstract
Using a well-known database, maintained by Robert Shiller, we implement a forecasting competition that imposes different layers of PVM restrictions. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to the unrestricted VAR. Moreover, imposing short-run restrictions produces forecast winners 70% of the time for the target variables of PVMs and 63.33% of the time when all variables in the system are considered.
Keywords
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Osmani Teixeira Guillén, Alain Hecq, João Victor Issler, Diogo Saraiva,