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Forecasting using a random coefficient autoregression
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DOI：10.1007/s00181-025-02824-y.png)
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Abstract
En 中文
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.
Keywords:
Autoregression
Random coefficient autoregression
Out-of-sample forecast
Accuracy
C22
C53
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E
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