Assessing forecast uncertainties in a VECX* model for Switzerland: an exercise in forecast combination across models and observation windows

M Hashem Pesaran () and Katrin Assenmacher-Wesche ()

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: 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.

Keywords: Bayesian model averaging; choice of observation window; longrun structural vector autoregression. (search for similar items in EconPapers)
JEL-codes: C53 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
Date: 2007-09

Downloads: (external link)
http://www.econ.cam.ac.uk/dae/repec/cam/pdf/cwpe0746.pdf Working Paper Version (application/pdf)

Related works:
Working Paper: Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows (2007)
Working Paper: Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cam:camdae:0746

Access Statistics for this paper

More papers in Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge
Series data maintained by Howard Cobb ().