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Franses, P.H. and Knyazhitskiy, D. (2025). Forecasting using a random coefficient autoregression Empirical Economics, 69(6):3001--3017.

  • Journal
    Empirical Economics
View publication

We consider point forecasts for economic time series using a basic random coefficient autoregression. We show using simulations that these point forecasts do not improve much on the point forecasts from fixed coefficient autoregressive models. Various empirical illustrations emphasize the simulations-based evidence.