Handbook of Economic Forecasting part 23 pdf

... predictive models 234 4.1. Comparison of two nonnested models: Diebold and Mariano test 235 4.2. Comparison of two nested models 238 4.2.1. Clark and McCracken tests 238 Handbook of Economic Forecasting, ... Timmermann, A. (2004).“Properties of optimalforecasts under asymmetric loss and nonlinearity”. Mimeo, London School of Economics and Departmentof Economics, Universi...

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... comparison of some models of exchange rate volatility”. Journal of International Economics 35, 23 46. West, K.D., McCracken, M.W. (1998). “Regression based tests of predictive ability”. International Economic Review ... Forecasting inflation”. Journal of Monetary Economics 44, 293–335. Stock, J.H., Watson, M.W. (2002). “Macroeconomic forecasting using diffusion indexes”. Journa...

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... the uncertainty of forecasts and in Section 4.3 we discuss the use of qualitative surveys to produce forecasts of quantitative macro -economic aggregates. Methods of testing models of expectation ... surveys collate the forecasts of professional forecasters, and it is likely that at least some of these are generated by formal forecasting models and forecasting processes of...

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... College, Department of Economics Working Paper 583. Giacomini, R., Komunjer, I. (2005). “Evaluation and combination of conditional quantile forecasts”. Journal of Business and Economic Statistics 23, ... 808–817. Christoffersen, P.F., Diebold, F.X. (2000). “How relevant is volatility forecasting for financial risk manage- ment?” Review of Economics and Statistics 82, 12–22. Christ...

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... as we will see in the examples of Section 7. The positive aspect of this result is that estimation of the current economic condition is rather robust to the choice of method. Another implication ... estimator of the probability of being in a given status in period t. Notice also that the first and last rows of (14) provide, respectively, the probability of the state and the d...

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... 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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... 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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... rolling estimation 233 Part III: Evaluation of (Multiple) Misspecified Predictive Models 234 4. Pointwise comparison of (multiple) misspecified predictive models 234 4.1. Comparison of two nonnested ... 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 small n...

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... 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 inference and forecasting: ... Empirical evidence 639 9. Forecasting UK unemployment after three crises 640 9.1. Forecasting 1992–2001 643 9.2. Forecasting 1919–1938 645 9.3. Forecasting 1948–1967 645 9.4...

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... enlarged the scope of models that can be brought to bear on forecasting problems using either Bayesian or non-Bayesian methods, and significantly increased the quality of economic forecasting. This ... history of how they came about and improved economic decision-making. The chapter begins in Section 2 with an exposition of Bayesian inference, empha- sizing applications of the...

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