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Working Paper
Should fixed coefficients be reestimated every period for extrapolation?
This paper demonstrates that forecast accuracy is not necessarily improved when fixed coefficient models are sequentially reestimated, and used for prediction, after updating the database with the latest observation(s). This is at variance with the now popular method (see Meese and Rogoff (1983, 1985)) of sequentially reestimating fixed coefficient models for prediction as new data "rolls" in. It is argued that although "rolling" may minimize the variance of predictions for some classes of estimators, "rolling" does not necessarily yield accurate predictions (i.e., predictions that are ...
Discussion Paper
Should fixed coefficients be reestimated every period
Working Paper
Forecasting Australian monetary aggregates
Discussion Paper
Minimum average risk estimators for coefficients in linear models
Discussion Paper
Forecasting money demand with econometric models