Template-Type: ReDIF-Paper 1.0
Author-Name: Gary  Koop
Author-Name-First: Gary 
Author-Name-Last: Koop
Author-Email: gary.koop@strath.ac.uk
Author-Workplace-Name: Department of Economics, University of Strathclyde 
Author-Name: Dimitris  Korobilis
Author-Name-First: Dimitris 
Author-Name-Last: Korobilis
Author-Email: dimitrios.korompilis@uclouvain.be
Author-Workplace-Name: Center for Operations Research & Econometrics (CORE), Universite Catholique de Louvain
Title: Forecasting Inflation Using Dynamic Model Averaging*
Abstract: We forecast quarterly US inflation based on the generalized Phillips curve using econometric methods which incorporate dynamic model averaging. These methods not only allow for coe¢ cients to change over time, but also allow for the entire forecasting model to change over time. We find that dynamic model averaging leads to substantial forecasting improvements over simple benchmark regressions and more sophisticated approaches such as those using time varying coefficient models. We also provide evidence on which sets of predictors are relevant for forecasting in each period.
Length: 33 pages
Creation-Date: 2011-04
Revision-Date: 
Publication-Status: 
File-URL: http://www.strath.ac.uk/media/1newwebsite/departmentsubject/economics/research/researchdiscussionpapers/2011/11-19Final.pdf
File-Format: Application/pdf
Number: 1119
Classification-JEL: E31, E37, C11, C53
Keywords: Bayesian, State space model, Phillips curve
Handle: RePEc:str:wpaper:1119