Improving econometric forecasts by using subperiod data

Paul A. Anderson and Thomas M. Supel

No 21, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: The method proposed here includes two innovations which should improve the accuracy of econometric forecasting. First, it replaces the subjective, judgmental adjustments commonly used with a more formal, objective econometric procedure. Second, it includes a methodology for testing the usefulness of subperiod data which forecasters often inspect when choosing intercept adjustments. A sample application to the MIT-Penn-SSRC Model demonstrates that the procedure is both feasible and potentially helpful in the context of a large macroeconometric model.

Keywords: Forecasting (search for similar items in EconPapers)
Date: 1977
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