期刊名称：Cambridge Working Papers in Economics / Faculty of Economics ; Department of Applied Economics
出版年度：2007
卷号：1
出版社：Cambridge University
摘要：We investigate the effect of forecast uncertainty in a cointegrating vector error correction model for Switzerland. Forecast uncertainty is evaluated in three different dimensions. First, we investigate the effect on forecasting performance of averaging over forecasts from different models. Second, we look at different estimation windows. We find that averaging over estimation windows is at least as e¤ective as averaging over different models and both complement each other. Third, we explore whether using weighting schemes from the machine learning literature improves the average forecast. Compared to equal weights the e¤ect of the weighting scheme on forecast accuracy is small in our application.
关键词：Bayesian model averaging, choice of observation window, longrun structural vector autoregression.
