Handbook of Economic Forecasting part 24 pps
Handbook of Economic Forecasting part 24 pps
... remains of interest to know whether the rejection is due
to violation of uniformity or to violation of independence (or both). Broadly speaking,
violations of independence arises in the case of dynamic ... 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 sugges...
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...
Handbook of Economic Forecasting part 2 pps
... 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 number of models, nested: ... v
Contents of the Handbook vii
PART 1: FORECASTING METHODOLOGY
Chapter 1
Bayesian Forecasting
JOHN GEWEKE AND CHARLES WHITEMAN 3
Abstract 4
Keywords 4
1. Introduction 6
2. B...
Handbook of Economic Forecasting part 3 pps
... FORECASTING
JOHN GEWEKE and CHARLES WHITEMAN
Department of Economics, University of Iowa, Iowa City, IA 5 2242 -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...
Handbook of Economic Forecasting part 6 ppsx
... successful forecasting 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 ... 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 because o...
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 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 ... ∈{0, 1, 2, 3}.
Here ¯y
t+h,t
is the sample estimate of the mean of y across the forecasting models while
ˆσ
yt+h,t
is the sample estimate of the standard deviation using da...
Handbook of Economic Forecasting part 21 pps
... model irrespective
of the length of the backward-looking window used to measure past forecasting perfor-
mance.
7.3. Trimming of the worst models often improves performance
Trimming of forecasts can ... the best in-sample performance often leads to poor
out -of- sample forecasting performance; (iii) trimming of the worst models and clus-
tering of models with similar forecast...
Handbook of Economic Forecasting part 22 ppsx
... 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 the forecasting ... low values of the discount factor.
In a combination of forecasts from the Survey of Professional Forecasters and fore-
casts from simple autoregressive models applied to six macroe...
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...
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