A Simple Recursive Forecasting Model

William Branch and George 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: D83 D84 E37 (search for similar items in EconPapers)
Pages: 10
Date: 2005-02-01, Revised 2005-02-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Journal Article: A simple recursive forecasting model (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ore:uoecwp:2005-3

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