The structure of a machine-built forecasting system

Jiaqi Chen and Michael Tindall

No 13-1, Occasional Papers from Federal Reserve Bank of Dallas

Abstract: This paper describes the structure of a rule-based econometric forecasting system designed to produce multi-equation econometric models. The paper describes the functioning of a working system which builds the econometric forecasting equation for each series submitted and produces forecasts of the series. The system employs information criteria and cross validation in the equation building process, and it uses Bayesian model averaging to combine forecasts of individual series. The system outperforms standard benchmarks for a variety of national economic datasets.

Keywords: Econometrics (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-for
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Citations: View citations in EconPapers (1)

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