search query: @author Greene, M. / total: 5
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| Author: | Corrado, C. Greene, M. |
| Title: | Reducing uncertainty in short-term projections : linkage of monthly and quarterly models. |
| Journal: | Journal of Forecasting
1988 : APR-JUN, VOL. 7:2, p. 77-102 |
| Index terms: | ECONOMETRIC MODELS FORECASTING |
| Language: | eng |
| Abstract: | An analysis shows how monthly data and forecasts can be used in a systematic way to improve the predictive accuracy of a quarterly macroeconometric model. The problem is formulated as a model pooling procedure, where a baseline quarterly model forecast is modified through add-factors or constant adjustments. Adjustments are constructed automatically in a covariance-minimizing fashion. The revised expectation of the quarterly model's forecast errors is reflected. Results obtained using Federal Reserve Board models indicate the potential for significant reduction in forecast error variance through application of the procedures described. Literature about the topic is reviewed. |
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