Forecasting using a random coefficient autoregression

Philip Hans Franses; Dmitriy Knyazhitskiy

doi:10.1007/s00181-025-02824-y

Forecasting using a random coefficient autoregression

Philip Hans Franses^*
, Dmitriy Knyazhitskiy

^*Corresponding author for this work

Econometric Institute

Research output: Contribution to journal › Article › Academic › peer-review

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Abstract

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.

Original language	English
Pages (from-to)	3001-3017
Number of pages	17
Journal	Empirical Economics
Volume	69
Issue number	6
DOIs	https://doi.org/10.1007/s00181-025-02824-y
Publication status	E-pub ahead of print - 24 Sept 2025

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Publisher Copyright: © The Author(s) 2025.

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Forecasting using a random coefficient autoregression

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