@article{ijefm2015333,
author={{Reschenhofer, Erhard and Chudy, Marek},
title={Adjusting Band-Regression Estimators for Prediction: Shrinkage and Downweighting},
journal={International Journal of Econometrics and Financial Management},
volume={3},
number={3},
pages={121--130},
year={2015},
url={http://pubs.sciepub.com/ijefm/3/3/3},
issn={2374-2038},
abstract={This paper proposes further developments of band-regression models for forecasting purposes, namely a simple method for shrinking the parameter estimates as well as a method for the automatic selection of the underlying frequency band. In combination with a method for downweighting older data, the improved band-regression model is used to forecast real GDP growth across nine industrialized economies. The results of this empirical study show that this forecasting approach outperforms conventional forecasting methods. As a secondary finding, the empirical results also raise doubts whether the yield-curve spread is really a valuable leading indicator of GDP growth.},
doi={10.12691/ijefm-3-3-3}
publisher={Science and Education Publishing}
}