Exploring Regime-adaptive Linear Models for Time Series Forecasting

UC Berkeley STAT 230A Final Project

Research Questions

• Is interest rate a useful predictor of U.S. unemployment rate?
• Is it possible to predict one-month-ahead unemployment rate?
• What are the models adequate enough to fit unemployment rate?

Models

• AR Model (Baseline)
• Ridge regression
• Indicator regime regression (ridge regression with an indicator on past changes to detect the regime)
• Switching autoregressive model

Report

See report for details and citations.