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| Tekijä: | Craine, R. Havenner, A. M. |
| Otsikko: | Forecast comparisons of four models of US interest rates. |
| Lehti: | Journal of Forecasting
1988 : JAN-MAR, VOL. 7:1, p. 21-29 |
| Asiasana: | INTEREST RATES USA FORECASTING FINANCIAL MODELS |
| Kieli: | eng |
| Tiivistelmä: | The out of sample forecasts are compared from four alternative interest rate models based on expanding information sets. Theoretical background of the topic is discussed, literature is reviewed. The role of conditioning information is highlighted. Forecast models are compared. The random walk model is found to be the most restrictive. Univariate and multivariate time series models are examined. The dependent position of the MPS econometric model is analyzed. Possibilities to improve forecasting accuracy are discussed. The problem of costs of information is mentioned. |
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