Discussion Paper

The structure of a machine-built forecasting system


Abstract: This paper describes the structure of a rule-based econometric forecasting system designed to produce multi-equation econometric models. The paper describes the functioning of a working system which builds the econometric forecasting equation for each series submitted and produces forecasts of the series. The system employs information criteria and cross validation in the equation building process, and it uses Bayesian model averaging to combine forecasts of individual series. The system outperforms standard benchmarks for a variety of national economic datasets.

Keywords: Econometrics;

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Bibliographic Information

Provider: Federal Reserve Bank of Dallas

Part of Series: Occasional Papers

Publication Date: 2013

Number: 13-1