Handbook of Economic Forecasting part 20 pps
Handbook of Economic Forecasting part 20 pps
... probabilities vary over time as a function of the arrival of new information provided that P is of rank greater than one. 4.2. Nonlinear combination schemes Two types of nonlinearities can be considered ... combination of the least-squares and equal weights. Stock and Watson (200 4) also propose shrinkage towards the arithmetic average of forecasts. Let ˆω T,T−h,i be the least-squ...
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Handbook of Economic Forecasting part 107 pps
... Throsby HANDBOOK OF LAW AND 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 ... TITLES HANDBOOK OF EXPERIMENTAL ECONOMICS RESULTS Editors Charles Plott and Vernon L. Smith HANDBOOK ON THE ECONOMICS OF ART AND CULTURE Editors Victor Ginsburgh and...
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Handbook of Economic Forecasting part 2 pps
... 198 Keywords 199 Part I: Introduction 200 1. Estimation, specification testing, and model evaluation 200 Part II: Testing for Correct Specification of Conditional Distributions 207 xvi Contents of Volume ... 102 3. A small number of nonnested models, Part I 104 4. A small number of nonnested models, Part II 106 5. A small number of nonnested models, Part III 111 6. A sm...
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Handbook of Economic Forecasting part 3 pps
... Empirical evidence 639 9. Forecasting UK unemployment after three crises 640 9.1. Forecasting 1992 200 1 643 9.2. Forecasting 1919–1938 645 9.3. Forecasting 1948–1967 645 9.4. Forecasting 1975–1994 ... FORECASTING JOHN GEWEKE and CHARLES WHITEMAN Department of Economics, University of Iowa, Iowa City, IA 52242-1000 Contents Abstract 4 Keywords 4 1. Introduction 6 2. Bayesian i...
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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...
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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( ... analyzing the effect of asymmetric loss on optimal predictions, cf., inter alia, Christoffersen and Diebold (1997), Granger and Pe- saran (200 0) and Patton and Timmerma...
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Handbook of Economic Forecasting part 21 pps
... 183 In one of the most comprehensive studies to date, Stock and Watson (200 1) consider combinations of a range of linear and nonlinear models fitted to a very large set of US macroeconomic variables. ... estimation of the full covariance matrix for the forecast errors. Aiolfi and Timmermann (200 6) find evidence of persistence in the out -of- sample performance of linear and nonli...
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Handbook of Economic Forecasting part 22 ppsx
... (200 1, 200 4) and Marcellino (200 4) let the forecast user control both the number of forecasting models as well as the types of forecasts that are being combined. This opens a whole new set of issues: ... 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 accor...
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Handbook of Economic Forecasting part 24 pps
... [Christoffersen and Diebold (200 0)]. 2 Needless to say, correct specification of the conditional distribution implies correct specification of all conditional aspects of the model. Perhaps in part ... estimator of θ 0 . Visual inspection of the plot of this difference gives also some information about the deficiency of the candidate conditional density, and so may suggest some w...
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Handbook of Economic Forecasting part 27 ppsx
... issue of exchange rate predictability, a partial list of which includes Berkowitz and Giorgianni (200 1), Mark (1995), Kilian (1999a), Clarida, Sarno and Taylor (200 3), Kilian and Taylor (200 3), ... Rossi (200 5), Clark and West (200 6), and McCracken and Sapp (200 5). Indeed, the debate about predictability of exchange rates was one of the driving force behind the literature on out...
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