期刊名称：International Journal of Econometrics and Financial Management
印刷版ISSN：2374-2011
电子版ISSN：2374-2038
出版年度：2015
卷号：3
期号：3
页码：121-130
DOI：10.12691/ijefm-3-3-3
出版社：Science and Education Publishing
摘要：This paper proposes further developments of band-regression models for forecasting purposes, namely a simple method for shrinking the parameter estimates as well as a method for the automatic selection of the underlying frequency band. In combination with a method for downweighting older data, the improved band-regression model is used to forecast real GDP growth across nine industrialized economies. The results of this empirical study show that this forecasting approach outperforms conventional forecasting methods. As a secondary finding, the empirical results also raise doubts whether the yield-curve spread is really a valuable leading indicator of GDP growth.
关键词：forecasting; optimal weights; band regression; shrinkage; fractional degrees of freedom
