A Simple Recursive Forecasting Model

William A. Branch () and George William Evans ()

University of Oregon Economics Department Working Papers from University of Oregon Economics Department

Abstract: We compare the performance of alternative recursive forecasting models. A simple constant gain algorithm, used widely in the learning literature, both forecasts well out of sample and also provides the best fit to the Survey of Professional Forecasters.

Keywords: constant gain; recursive learning; expectations (search for similar items in EconPapers)
JEL-codes: E37 D84 D83 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
Date: Written 2005-02-01
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http://economics.uoregon.edu/papers/UO-2005-3_Evans_Simple_Forecasting.pdf (application/pdf)

Related works:
Journal Article: A simple recursive forecasting model (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:ore:uoecwp:2005-3

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