Handbook of Economic Forecasting part 7 docx

... linear combination of the elements of  Y (his exam- ple of such a function of interest is a discounted sum) will be distributed as univariate Student-t, so that expectations of such linear combinations ... the probability structure of the recursive formulation of a single model A: the prior density p(θ A | A), the density of the observables p(Y T | θ A ,A), and the density o...

Ngày tải lên: 04/07/2014, 18:20

... of the outcome of the conventional procedure for determining the rank of the error correction matrix. The paper offers an extensive comparison of root mean square forecasting errors for all of ... density of u 0 and ε 0 , (73 )p(ε 0 , u 0 | φ, θ,h,X T , y T ) is that of a Gaussian distribution and is easily computed [see Newbold (1 974 )]. The product of (73 ) with the dens...

Ngày tải lên: 04/07/2014, 18:20

... Zellner, A. (19 87) . “Macroeconomic forecasting using pooled international data”. Journal of Business and Economic Statistics 5, 53– 67. Geisel, M.S. (1 975 ). “Bayesian comparison ofsimple macroeconomic ... (1 978 ). Specification Searches. Wiley, New York. Lesage, J.P. (1990). “A comparison of the forecasting ability of ECM and VAR models”. The Review of Economics and Statist...

Ngày tải lên: 04/07/2014, 18:20

... validity of the bootstrap are established in Corradi and Swanson (2005). Alternatively, one can swear off MSPE. This is discussed in the next section. 7. A small number of models, nested, Part II Leading ... P −1 T  t=R  ˆy 1t+1 −ˆy 2t+1  2  (6.10)≡ˆσ 2 1 −  ˆσ 2 2 -adj  . 7 Note that (4.5) and the left-hand side of (6.8) are identical, but that Section 4 recommends the use...

Ngày tải lên: 04/07/2014, 18:20

... approach of DGT) should be of interest from the perspective of out -of- sample evaluation. For this reason, and for sake of completeness, in this section we provide out -of- sample versions of all of the ... value of the original statistic with bootstrapped critical values. If the data consists of iid observations, we should consider proceeding along the lines of Andrews (19...

Ngày tải lên: 04/07/2014, 18:20

... of the estimation scheme used, the contribution of parameter estimation error is asymptotically negligible. 3.3. Out -of- sample implementation of Corradi and Swanson tests We now outline out -of- sample ... following sections, application of Theorem 3.6 allows us to capture the contribution of (recur- sive) parameter estimation error to the covariance kernel of the limiting distr...

Ngày tải lên: 04/07/2014, 18:20

... →∞. P ROOF. For the proof of part (ii), see Appendix B.  Note that under the null, the least favorable case arises when E(g(u 1,t+1 ) − g(u k,t+1 )) = 0, ∀k. In this case, the distribution of S P coincides ... check whether a more accurate forecasting model can be constructed by including possibly unknown (non)linear functions of the past of the process or of the past of some...

Ngày tải lên: 04/07/2014, 18:20

... Tuckwell, N. (1 970 ). “The seasonal adjustment of economic time series”. Inter- national Economic Review 11, 24–52. Harrison, P.J., Stevens, C.F. (1 976 ). “Bayesian forecasting . Journal of the Royal ... Journal of Forecasting 6, 1 87 198. Harvey, A.C., Todd, P.H.J. (1983). Forecasting economic time series with structural and Box–Jenkins models (with discussion)”. Journal o...

Ngày tải lên: 04/07/2014, 18:20

... 1. 370 1.3 57 1.032 1. 478 1.3 87 1.092 1.550 1.401 1.145 400 1. 371 1. 378 1.030 1. 472 1.402 1. 077 1.538 1.416 1.120 8 100 7. 106 5.354 4.864 6.831 4. 073 3.993 5.9 07 3.121 3.246 200 7. 138 5. 078 4 .72 6 ... 3.926 3.8 87 5.864 3.030 3.139 400 7. 064 4.910 4. 577 6 .77 4 3.839 3 .77 1 5 .78 5 2.986 3.003 Average number of lags 100 2.64 4. 07 0.80 2.68 4.22 1.00 2.86 4. 27 1.48...

Ngày tải lên: 04/07/2014, 18:20

... of profit and loss accounts Consensus Economics Most of the World excluding Africa and parts of Asia http://www.consensuseconomics.com Quantitative Collates economics forecasts Confederation of ... Survey of Eco- nomic Expectations [Dominitz and Manski (1997a, 1997b)] and the U.S. Survey of Consumers [Dominitz and Manski (2003, 2004)]. Ch. 14: Survey Expectations 74 1 The accuracy...

Ngày tải lên: 04/07/2014, 18:20