Handbook of Economic Forecasting part 32 pptx
Handbook of Economic Forecasting part 32 pptx
... Review of Economic Statistics 59, 540–550.
Teräsvirta, T. (2006). Forecasting economic variables with nonlinear models”. In: Elliott, G., Granger,
C.W.J., Timmermann, A. (Eds.), Handbook of Economic ... representations of the process will be convenient to work
with in particular situations. Another useful representation of a stationary VARMA
PART 2
FORECASTING MODELS
Chap...
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...
Handbook of Economic Forecasting part 19 pptx
... 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 set of top and bottom models that are used ... Armstrong (1989). This is particularly impor-
tant when forecasting with nonlinear models whose predictions are often implausible
and can lie outside the empirical range of the...
Handbook of Economic Forecasting part 37 pptx
... 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 measures of change depends ... Survey (LFS), which consists of a rotating sam-
ple of approximately 60,000 households. Another measure of unemployment, based on
administrative sources, is the number of peopl...
Handbook of Economic Forecasting part 48 pptx
... functions: the MSFE and a payoff criterion
based on the economic value of the forecast (forecasting the direction of change). When
the MSFE increases, the probability of correctly forecasting the direction ... 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.), Handbo...
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 (1998) comprehensive survey is devoted to a discussion
of the so far somewhat fragmentary degree of approximation ... in more frequently observed
regions of the distribution of X
t
, at the cost of being less accurate in less frequently
observed regions of the distribution of X
t
.
I...
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...
Handbook of Economic Forecasting part 66 pptx
... IOs, as
well as reducing the power of the tests of LS.
Ch. 12: Forecasting with Breaks 631
7. Ad hoc forecasting devices
When there are structural breaks, forecasting methods which adapt quickly ... relations that they study. A number of authors have noted that
empirical-accuracy studies of univariate time-series forecasting models and methods of-
ten favor ad hoc forecasti...
Handbook of Economic Forecasting part 68 pptx
... autoregressions”. Journal of Business and Economic Statistics 21, 196–211.
Clements, M.P., Smith, J. (1999). “A Monte Carlo study of the forecasting performance of empirical SETAR
models”. Journal of Applied ... Bulletin of
Economics and Statistics 67, 931–956.
Clements, M.P., Krolzig, H M. (1998). “A comparison of the forecast performance of Markov-switching and
threshold a...
Handbook of Economic Forecasting part 74 pptx
... countries”. Review of Economics and Statistics 78, 325 –330.
Kunst, R.M., Franses, P.H. (1998). “The impact of seasonal constants on forecasting seasonally cointegrated
time series”. Journal of Forecasting ... Mimeo, Faculty
of Economics, University of Algarve.
Herwartz, H. (1997). “Performance of periodic error correction models in forecasting consumption data”.
Internatio...