Handbook of Economic Forecasting part 8 ppt
Handbook of Economic Forecasting part 8 ppt
... (equation-by-equation, of course) estimator of b, and the marginal density for is again of the inverted Wishart form. Symmetric treatment of all equations is also feature of this formulation owing ... Ch. 1: Bayesian Forecasting 51 That is, under the normal-Wishart prior, the ratio of the posterior variance of the “own” lag coefficient in first equation to that of the “other...
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Handbook of Economic Forecasting part 1 pptx
... 08 09 10 10 9 8 7 6 5 4 3 2 1 HANDBOOK OF ECONOMIC FORECASTING VOLUME 1 INTRODUCTION TO THE SERIES The aim of the Handbooks in Economics series is to produce Handbooks for various branches of ... provides self-contained surveys of the current state of a branch of economics in the form of chapters prepared by leading specialists on various aspects of this branch of e...
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Handbook of Economic Forecasting part 19 pptx
... use of sequential pre-tests, can be avoided. Of course, consistency of the selection approach must be established in the context of the particular sampling experiment appropriate for a given forecasting situation. ... performance up to time t – gets a weight of (1 +¯ω)/αN. Similarly, a proportion α of models gets a weight of −¯ω/αN. The larger the value of α, the wider the s...
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Handbook of Economic Forecasting part 32 pptx
... LÜTKEPOHL Department of Economics, European University Institute, Via della Piazzuola 43, I-50133 Firenze, Italy e-mail: helmut.luetkepohl@iue.it Contents Abstract 288 Keywords 288 1. Introduction ... Timmermann, A. (Eds.), Handbook of Economic Forecasting. Elsevier, Amsterdam, pp. 413–457. Chapter 8 in this volume. Thompson, S.B. (2002). “Evaluating the goodness of fit of con...
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Handbook of Economic Forecasting part 33 ppt
... even if the MA part of the levels y t is invertible. 2.4.2. Forecasting aggregated processes We have argued in Section 2.3 that linear transformations of VARMA processes are of- ten of interest, ... Therefore forecasts of transformed processes are also of interest. Here we present some forecasting results for transformed and aggregated processes from Lütkepohl (1 987 ) where...
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Handbook of Economic Forecasting part 35 ppt
... Analysis 8 (1 987 ) 373. Lütkepohl, H. (1 985 b). “The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions”. Economics Letters 17, 103–106. Lütkepohl, H. (1 986 a). ... York, pp. 83 –121. Hannan, E.J. (1 981 ). “Estimating the dimension of a linear system”. Journal of Multivariate Analysis 11, 459–473. Hannan, E.J., Deistler, M. (1 988 )...
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Handbook of Economic Forecasting part 37 pptx
... estimates of the underly- ing change in unemployment. Estimates of the numbers of unemployed according to the ILO definition have been published on a quarterly basis since the spring of 1992. From 1 984 ... annual rate of 4.4%. The RMSE was one fifth of the level. The headline figure is 3.1%, but at the end of the year it was back up to 4.6%. The effectiveness of these simple mea...
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Handbook of Economic Forecasting part 48 pptx
... moment test of functional form”. Econometrica 58, 1443– 14 58. Boero, G., Marrocu, E. (2002). “The performance of non-linear exchange rate models: A forecasting compar- ison”. Journal of Forecasting ... Journal of Forecasting 20, 185 –199. Corradi, V., Swanson, N.R. (2006). “Predictive density evaluation”. In: Elliott, G., Granger, C.W.J., Timmer- mann, A. (Eds.), Handbook o...
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Handbook of Economic Forecasting part 49 ppt
... Journal of Forecasting 25, 49–75. Mincer, J., Zarnowitz, V. (1969). “The evaluation of economic forecasts”. In: Mincer, J. (Ed.), Economic Forecasts and Expectations. National Bureau of Economic ... (19 98) . Forecasting the U.S. unemployment rate”. Journal of the American Statistical Association 93, 4 78 493. Nyblom, J. (1 989 ). “Testing for the constancy of parameters ov...
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Handbook of Economic Forecasting part 50 pptx
... choice of the basis itself or of the elements of the dic- tionary. Section 8 of DeVore’s (19 98) comprehensive survey is devoted to a discussion of the so far somewhat fragmentary degree of approximation ... of DeVore (19 98) is especially comprehensive and deep, providing a rich catalog of results permitting a comparison of these approaches. Given sufficient a priori know...
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