Handbook of Economic Forecasting part 19 pptx
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 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...
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Handbook of Economic Forecasting part 32 pptx
... extensions. Examples of such attempts are Tiao and Box (198 1), Tiao and Tsay (198 3, 198 9), Tsay (198 9a, 198 9b), Wallis (197 7), Zellner and Palm (197 4), Granger and Newbold (197 7, Chapter 7), Jenkins and Alavi (198 1). ... Review of Economic Statistics 59, 540–550. Teräsvirta, T. (2006). Forecasting economic variables with nonlinear models”. In: Elliott, G., Granger, C.W.J....
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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 199 2. From 198 4 ... 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...
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Handbook of Economic Forecasting part 48 pptx
... 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 of Economic Forecasting. ... Hendry, D.F. (199 9). Forecasting Non-stationary Economic Time Series. MIT Press, Cam- bridge, MA. Clements, M.P., Krolzig, H M. (199 8). “A comparison of the forecast performa...
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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 (199 8) comprehensive survey is devoted to a discussion of the so far somewhat fragmentary degree of approximation ... necessary requirement, however. A particularly powerful class of basis functions that need not be orthogonal is the class of “wavelets”, introduced by Daubechies (198 8,...
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Handbook of Economic Forecasting part 53 pptx
... direct consequence of the challenging nonconvexity of the NLS objective function induced by the nonlinearity in parameters of the ANN model, coupled with our choice of a new set of random starting values ... indicator of which polynomial model to select. Our experiments so far have revealed some interesting properties of our methods, but because of the extremely challenging re...
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Handbook of Economic Forecasting part 66 pptx
... 57), Klein (197 1), Klein, Howrey and MacCarthy (197 4), and the sequence of reviews by the UK ESRC Macroeconomic Modelling Bureau in Wallis et al. (198 4, 198 5, 198 6, 198 7), Turner (199 0), and Wallis ... the detection of outliers and level shifts in ARMA models [following on from Box and Jenkins (197 6)] is relevant from a forecasting perspective; see, inter alia, Tsay (198 6,...
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Handbook of Economic Forecasting part 68 pptx
... forecasts of U r,t and R r t , 191 9 193 8. Figure 7. VECM 1-step and 10-step forecasts of U r,t and R r t , 194 8 196 7. Ch. 12: Forecasting with Breaks 647 Figure 8. VECM 1-step and 10-step forecasts of ... forecasts of U r,t and R r t , 191 9 193 8. 9.2. Forecasting 191 9 193 8 Over this sample, F Chow (40, 41) = 2.81 ∗∗ , strongly rejecting the model re-estimated, but not...
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Handbook of Economic Forecasting part 74 pptx
... Mimeo, Faculty of Economics, University of Algarve. Herwartz, H. (199 7). “Performance of periodic error correction models in forecasting consumption data”. International Journal of Forecasting 13, ... University Press, 199 2, pp. 449–466. PART 4 APPLICATIONS OF FORECASTING METHODS Ch. 13: Forecasting Seasonal Time Series 707 Beaulieu, J.J., Miron, J.A. (199 2). “A cross...
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