Antipin, Jan-Erik; Boumediene, Farid Jimmy; Österholm, Pär - Konjunkturinstitutet, Government of Sweden - 2013
In this paper, we assess the usefulness of constant gain least squares (CGLS) when forecasting the unemployment rate. Using quarterly data from 1970 to 2009, we conduct an out-of-sample forecast exercise in which univariate autoregressive models for the unemployment rate in Australia, Sweden,...