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<p>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.</p>

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Forecasting using a random coefficient autoregression

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2025年9月24日

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  • Philip Hans Franses,
  • Dmitriy Knyazhitskiy

摘要

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.