Handbook of Economic Forecasting part 18 ppsx
Handbook of Economic Forecasting part 18 ppsx
... ˆy
2
has a bias equal of μ
2
. Then the MSE of ˆy
1
is σ
2
, while the MSE of ˆy
2
is σ
2
+μ
2
2
.The
MSE of the combined forecast ˆy
c
= ω ˆy
1
+(1−ω) ˆy
2
relative to that of the best forecast
(ˆy
1
)is
MSE( ... (2004): If the joint distribution of (y
t+h
ˆ
y
t+h,t
)
is elliptically symmet-
ric and the expected loss can be written as a function of the mean and variance of...
Handbook of Economic Forecasting part 6 ppsx
... application
utilizing a combination of heterogeneous data and Bayesian model averaging.
2.4.4. Conditional forecasting
In some circumstances, selected elements of the vector of future values of y may be
known, ... linear combinations of elements
of future values. The simplest such situation arises when one or more of the elements
of y become known before the others, perhaps...
Handbook of Economic Forecasting part 22 ppsx
... 188 A. Timmermann
Table 2
Linear Models. Out -of- sample forecasting performance of combination schemes applied to linear models.
Each panel reports the out -of- sample MSFE – relative to that of ... the inverse of their MSE-values. Out -of- sample forecasting
performance is reported relative to the forecasting performance of the previous best (PB)
model selected according to t...
Handbook of Economic Forecasting part 27 ppsx
... predictability of exchange rates was one of the
driving force behind the literature on out -of- sample comparison of nested models.
4.2.1. Clark and McCracken tests
Within the context of nested linear ... acknowledge that the objective of interest is often to choose a
model which provides the best (loss function specific) out -of- sample predictions, from
amongst a set of potential...
Handbook of Economic Forecasting part 42 ppsx
... optimal estimates) of future
observations and components are linear functions of the observations and all other char-
acteristics of the conditional distributions are independent of the observations. ... is in the range 0 to 1.268.
386 A. Harvey
In view of the simple structure of the matrix exponential, the evaluation of the covari-
ance matrix of the discrete time disturbance...
Handbook of Economic Forecasting part 59 ppsx
... (1999). Forecasting inflation”. Journal of Monetary Economics 44, 293–335.
Stock, J.H., Watson, M.W. (2002a). “Macroeconomic forecasting using diffusion indexes”. Journal of Busi-
ness and Economic ... number of general points regarding the problem of forecasting with
nonstationary or near nonstationary variables and highlight the differences and similar-
ities in forecasting...
Handbook of Economic Forecasting part 61 ppsx
... for ρ = 1 − γ/T that in
Ch. 11: Forecasting with Trending Data 577
Figure 7. Ratio of MSE of unit root forecasting model to MSE of optimal forecast as a function of λ – mean
case.
T
−1/2
(y
T +h
− ... about the dynamics of the cointegrating
vector c
t
, which as we have stated will affect the usefulness of the cointegrating vector
in forecasting future values of y. The dyn...
Handbook of Economic Forecasting part 87 ppsx
... true state of the volatility at the
end of the period. This, of course, can be critically important for accurate forecasting.
In sum, the use of the realized volatility measures for forecasting ... correlation forecasting plays an equal, if not even more important, role
in the uses of volatility forecasts. Fortunately, many of the same ideas and procedures
discussed in the c...
Handbook of Economic Forecasting part 107 pps
... ECONOMICS
Editors A. Mitchell Polinsky and Steven Shavell
HANDBOOK OF THE ECONOMICS OF EDUCATION
Editors Eric Hanushek and Finis Welch
HANDBOOK OF ECONOMICS OF TECHNOLOGICAL CHANGE
Editors Bronwyn H. Hall ... EXPERIMENTAL ECONOMICS RESULTS
Editors Charles Plott and Vernon L. Smith
HANDBOOK ON THE ECONOMICS OF ART AND CULTURE
Editors Victor Ginsburgh and David Throsby
HANDBOOK...
Handbook of Economic Forecasting part 1 pptx
... 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 economics, each of which ... FRANCISCO
•
SINGAPORE
•
SYDNEY
•
TOKYO
CONTENTS OF THE HANDBOOK
VOLUME 1
Introduction to the Series
Contents of the Handbook
PART 1: FORECASTING METHODOLOGY
Chapter 1
Bayes...
Từ khóa: