Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/106803 
Year of Publication: 
2015
Series/Report no.: 
Kiel Working Paper No. 1982
Publisher: 
Kiel Institute for the World Economy (IfW), Kiel
Abstract: 
I study the performance of single predictor bridge equation models as well as a wide range of model selection and pooling techniques, including Mallows model averaging and Cross-Validation model averaging, for short-term forecasting euro area GDP growth. I explore to what extend model selection and model pooling techniques are able to outperform a simple autoregressive benchmark model in the periods before, during and after the Great Recession. I find that single predictor bridge equation models suffer a great variation in the forecast performance relative to the benchmark model over the analysed sub-samples. Moreover, model selection techniques turn out to produce quite poor forecasts in some sub-samples. On the contrary, model pooling based on the Cross-Validation and the Mallows criterion provide a very stable and accurate forecast performance.
Subjects: 
short-term forecasting
Great Recession
mixed frequency data
model selection and model pooling
JEL: 
C53
E37
Document Type: 
Working Paper

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