Article ID Journal Published Year Pages File Type
7408393 International Journal of Forecasting 2015 14 Pages PDF
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.
Related Topics
Social Sciences and Humanities Business, Management and Accounting Business and International Management
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