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Time varying coefficient models and their forecasting performance

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  • Riddington, GL

Abstract

The last decade has seen the spasmodic development of causal models with coefficients that vary over time and this paper aims to examine the effectiveness of the approach, with particular reference to ex-post forecasting performance. It discusses the empirical and theoretical reasons for models of this type, briefly identifies estimation methods, surveys published work and presents new empirical studies on whisky, tobacco, football and inflation. The paper proves conclusively that the approach significantly improves forecasting performance and concludes that it should be automatically considered by any management scientist undertaking the modelling of causal relationships over time.

Suggested Citation

  • Riddington, GL, 1993. "Time varying coefficient models and their forecasting performance," Omega, Elsevier, vol. 21(5), pages 573-583, September.
    • Handle: RePEc:eee:jomega:v:21:y:1993:i:5:p:573-583
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    Cited by:

    1. Haiyan Song & Egon Smeral & Gang Li & Jason L. Chen, 2008. "Tourism Forecasting: Accuracy of Alternative Econometric Models Revisited," WIFO Working Papers 326, WIFO.
    2. Fildes, Robert & Wei, Yingqi & Ismail, Suzilah, 2011. "Evaluating the forecasting performance of econometric models of air passenger traffic flows using multiple error measures," International Journal of Forecasting, Elsevier, vol. 27(3), pages 902-922, July.
    3. Song, Haiyan & Witt, Stephen F. & Jensen, Thomas C., 2003. "Tourism forecasting: accuracy of alternative econometric models," International Journal of Forecasting, Elsevier, vol. 19(1), pages 123-141.
    4. Ceren Kolsarici & Demetrios Vakratsas, 2015. "Correcting for Misspecification in Parameter Dynamics to Improve Forecast Accuracy with Adaptively Estimated Models," Management Science, INFORMS, vol. 61(10), pages 2495-2513, October.
    5. Charles, Jacky S. & Fullerton, Thomas M., Jr., 2012. "An Error Correction Analysis of Visitor Arrivals to the Bahamas," MPRA Paper 43064, University Library of Munich, Germany.
    6. Sohn, S. Y., 1996. "Random effects meta analysis of military recruiting," Omega, Elsevier, vol. 24(2), pages 141-151, April.

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