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A comprehensive evaluation of macroeconomic forecasting methods
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Carriero, Andrea, Galvão, Ana Beatriz and Kapetanios, George (2019) A comprehensive evaluation of macroeconomic forecasting methods. International Journal of Forecasting, 35 (4). pp. 1226-1239. doi:10.1016/j.ijforecast.2019.02.007 ISSN 0169-2070.
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Official URL: https://doi.org/10.1016/j.ijforecast.2019.02.007
Abstract
By employing datasets for seven developed economies and considering four classes of multi- variate forecasting models, we extend and enhance the empirical evidence in the macroeconomic forecasting literature. The evaluation considers forecasting horizons from one-quarter up to two- years ahead. We …nd that the structural model, a medium-sized DSGE model, provides accurate US and UK long-horizon in‡ation forecasts. To strike a balance between being comprehensive and producing clear messages, we employ meta-analysis regressions to 2,976 relative accuracy comparisons that vary with forecasting horizon, country, model class and speci…cation, number of predictors, and evaluation period. For point and density forecasting of GDP growth and in‡a- tion, we …nd that models with a large number of predictors do not perform better than models with 13-14 hand-picked predictors. Factor-augmented models and equal-weighted combinations of single-predictor mixed-data sampling regressions are a better choice for dealing with a large number of predictors than Bayesian VARs.
Item Type: | Journal Article | ||||||||
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Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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Journal or Publication Title: | International Journal of Forecasting | ||||||||
Publisher: | Elsevier | ||||||||
ISSN: | 0169-2070 | ||||||||
Official Date: | October 2019 | ||||||||
Dates: |
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Volume: | 35 | ||||||||
Number: | 4 | ||||||||
Page Range: | pp. 1226-1239 | ||||||||
DOI: | 10.1016/j.ijforecast.2019.02.007 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 1 May 2019 | ||||||||
Date of first compliant Open Access: | 27 June 2021 | ||||||||
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