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Autoren: 
Schwarzmüller, Tim
Datum: 
2015
Reihe/Nr.: 
Kiel Working Paper 1982
Zusammenfassung: 
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.
Schlagwörter: 
short-term forecasting
Great Recession
mixed frequency data
model selection and model pooling
JEL: 
C53
E37
Dokumentart: 
Working Paper
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