Journal
ECONOMICS LETTERS
Volume 91, Issue 2, Pages 158-166Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2005.09.005
Keywords
constant gain; recursive learning; expectations
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We compare the performance of alternative recursive forecasting models. A simple constant gain algorithm, used widely in the learning literature, both forecasts well out of sample and also provides the best fit to the Survey of Professional Forecasters. (c) 2005 Elsevier B.V. All rights reserved.
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