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.

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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

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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