Handbook of Economic Forecasting part 14 potx

... distribution of this term was given in (3.1). The second term on the right-hand side of (5.6) results from reliance of pre- dictions on estimates of β ∗ . To account for the effects of this second ... discussed in Sections 6 and 7 below. 4. A small number of nonnested models, Part II In the vast majority of economic applications, one or more of the models under con- sidera...

Ngày tải lên: 04/07/2014, 18:20

... Uni- versity of Iowa. Previously, the Institute had published forecasts of general economic conditions and had produced tax revenue forecasts for internal use of the state’s De- partment of Management ... with Bayesian forecasting: The Fed- eral Reserve Bank of Minneapolis national forecasting project, and The Iowa Economic Forecast produced by The University of Iowa Instit...

Ngày tải lên: 04/07/2014, 18:20

... model by ML gives an estimate of ω of 0.866. This results in an estimate of the probability of Oxford winning a future race of 0.833. The high probability is a reflection of the fact that Oxford won ... distribution of goals in next match. Number of goals 01234>4 0.471 0.326 0.138 0.046 0.013 0.005 Ch. 7: Forecasting with Unobserved Components Time Series Models 401 forec...

Ngày tải lên: 04/07/2014, 18:20

... applications of BMA to economic forecasting have been quite recent. Most of the applications have been to forecasting financial variables. Avramov (2002) applied BMA to the problem of forecasting ... from the projection of the original set of predictors onto Z t . In applications to economic forecasting, because of serial correlation in Y t ,Z t might include lagged valu...

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... to show gains from using GLS detrending for forecasting in this setting. As noted, for any of the combinations of estimators of ρ and μ taking expectations of the asymptotic approximation is not really ... relatively smaller, and the trade-off becomes similar to the results given earlier with the replacement of the variance of the shocks with the long run variance. The costs of...

Ngày tải lên: 04/07/2014, 18:20

... (1975). “Inflation expectations”. Economica 42, 123–138. Carroll, C. (2003). “Macro -economic expectations of households and professional forecasters”. Quarterly Journal of Economics CXVIII, 269–298. Caskey, ... formation of expectations”. Journal of Monetary Economics 1, 403–421. Friedman, B. (1980). “Survey evidence on the ‘rationality’ of interest rate expectations”. Journal of...

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... con- struction of practical measures of ex-post realized volatility that mimic the properties of the integrated volatility series. 1.2. Final introductory remarks This section has introduced some of the ... 1. The rest of the chapter unfolds as follows. Section 2 provides an initial motivating discussion of several practical uses of volatility forecasts. Sections 3–5 present a v...

Ngày tải lên: 04/07/2014, 18:20

... for measuring the dynamics of inflation uncertainty. Tools for modeling volatility dynamics have been applied in many other areas of economics and indeed in other areas of the social sciences, the ... applications of probability forecasting techniques are considered in Christoffersen and Diebold (2003). Financial risk management using dynamic volatility models is surveyed in Christof...

Ngày tải lên: 04/07/2014, 18:20

... refinement of the Method of Simulated Moments (MSM) of Duffie and Singleton (1993), representing a particular choice of indirect inference criterion, or binding function, in the terminology of Gouriéroux, ... Andersen and Sørensen (1996) provide a systematic study of the choice of moments and weighting matrix for this particular model. The lack of efficiency is highlighted in And...

Ngày tải lên: 04/07/2014, 18:20

... growth of the CCI SW is not statistically significant. Other major differences in the components of the two composite leading indexes are the inclusion in CLI CB of M2 and of the index of consumer ... they performed poorly on the ba- sis of the three criteria listed above, because either economic theory strongly supported their inclusion or they were part of the CLI DOC . Aft...

Ngày tải lên: 04/07/2014, 19:20