Handbook of Economic Forecasting part 35 ppt
Handbook of Economic Forecasting part 35 ppt
... analyzing small sets of time series. Choosing the best set of variables for a particular forecasting exercise may not Ch. 6: Forecasting with VARMA Models 323 Harvey, A. (2006). Forecasting with ... some drawbacks as forecasting tools. First of all, linear forecasts may not always be the best choice [see Teräsvirta (2006) in this Handbook, Chapter 8, for a discussion of forec...
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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 8 ppt
... (equation-by-equation, of course) estimator of b, and the marginal density for is again of the inverted Wishart form. Symmetric treatment of all equations is also feature of this formulation owing ... assumptions regarding the off-diagonal elements of . Litterman also sidestepped another computational burden (at the time) of treating the elements of the prior as unknown. In...
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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...
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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...
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Handbook of Economic Forecasting part 33 ppt
... even if the MA part of the levels y t is invertible. 2.4.2. Forecasting aggregated processes We have argued in Section 2.3 that linear transformations of VARMA processes are of- ten of interest, ... Therefore forecasts of transformed processes are also of interest. Here we present some forecasting results for transformed and aggregated processes from Lütkepohl (1987) where a...
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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...
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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...
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Handbook of Economic Forecasting part 49 ppt
... Journal of Forecasting 25, 49–75. Mincer, J., Zarnowitz, V. (1969). “The evaluation of economic forecasts”. In: Mincer, J. (Ed.), Economic Forecasts and Expectations. National Bureau of Economic ... Journal of Economic Surveys 13, 551–576. Harvey, A.C. (2006). Forecasting with unobserved components time series models”. In: Elliott, G., Granger, C.W.J., Timmermann, A. (Eds.)...
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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 (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...
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