A Simple Recursive Forecasting Model

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.

MoreLess

Year of publication:	2005-02-01
Authors:	Branch, Wiliam ; Evans, George W.
Institutions:	Department of Economics, University of Oregon
Subject:	constant gain \| recursive learning \| expectations

More details

Extent:	application/pdf
Series:	University of Oregon Economics Department Working Papers.
Type of publication:	Book / Working Paper
Notes:	1 pages long
Classification:	E37 - Forecasting and Simulation ; D84 - Expectations; Speculations ; D83 - Search, Learning, Information and Knowledge
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005763171