Forecasting using a random coefficient autoregression

Philip Hans Franses () and Dmitriy Knyazhitskiy
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Philip Hans Franses: Econometric Institute, Erasmus School of Economics
Dmitriy Knyazhitskiy: Econometric Institute, Erasmus School of Economics

Empirical Economics, 2025, vol. 69, issue 6, No 1, 3017 pages

Abstract: Abstract We consider point forecasts for economic time series using a basic random coefficient autoregression. We show using simulations that these point forecasts do not improve much on the point forecasts from fixed coefficient autoregressive models. Various empirical illustrations emphasize the simulations-based evidence.

Keywords: Autoregression; Random coefficient autoregression; Out-of-sample forecast; Accuracy (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s00181-025-02824-y

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