01829cam a22002297 4500001000600000003000500006005001700011008004100028100002200069245012900091260006600220490004100286500002000327520090200347530006101249538007201310538003601382710004201418830007601460856003701536856002601573w0056NBER20140821185430.0140821s1974 mau||||fs|||| 000 0 eng d1 aCooley, Thomas F.10aComparison of Robust and Varying Parameter Estimates of a Macroeconometric Modelh[electronic resource] /cThomas F. Cooley. aCambridge, Mass.bNational Bureau of Economic Researchc1974.1 aNBER working paper seriesvno. w0056 aSeptember 1974.3 aFour estimators of econometric models are compared for predictive accuracy. Two estimators assume that the parameters of the equations are subject to variation over time. The first of these, the adaptive regression technique (ADR), assumes that the intercept varies overtime, while the other, a varying-parameter regression technique (VPR), assumes that all parameters may be subject to variation. The other two estimators are ordinary least squares (OLS) and a robust estimator that gives less weight to large residuals. The vehicle for these experiments is the econometric model developed by Ray Fair. The main conclusion is that varying parameter techniques appear promising for the estimation of econometric models. They are clearly superior in the present context for short term forecasts. Of the two varying parameter techniques considered, ADR is superior over longer prediction intervals. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w0056.4 uhttp://www.nber.org/papers/w0056 uurn:doi:10.3386/w0056