Handbook of Economic Forecasting part 38 pot

... significance. Different definitions of turning points might be consid- ered, for example a change in sign of the cycle, a change in sign of its slope or a change in sign of the slope of the cycle and the trend ... of different ARIMA models for forecasting and the pos- sible shortcomings of the approach. From the theoretical point of view, the autoregressive representation of...

Ngày tải lên: 04/07/2014, 18:20

... Uni- versity of Iowa. Previously, the Institute had published forecasts of general economic conditions and had produced tax revenue forecasts for internal use of the state’s De- partment of Management ... with Bayesian forecasting: The Fed- eral Reserve Bank of Minneapolis national forecasting project, and The Iowa Economic Forecast produced by The University of Iowa Instit...

Ngày tải lên: 04/07/2014, 18:20

... empirical application because of a possible failure of stationarity. Specifically, Christiano compared predictions of models estimated over samples of increasing size: the first of his 96 predictions relied ... (2000b). Economic and statistical measures of forecast accuracy”. Journal of Forecasting 19, 537–560. Machina, M.J., Granger, C.W.J., (2005). “Decision-based forecast ev...

Ngày tải lên: 04/07/2014, 18:20

... distribution of this term was given in (3.1). The second term on the right-hand side of (5.6) results from reliance of pre- dictions on estimates of β ∗ . To account for the effects of this second ... discussed in Sections 6 and 7 below. 4. A small number of nonnested models, Part II In the vast majority of economic applications, one or more of the models under con- sidera...

Ngày tải lên: 04/07/2014, 18:20

... replacing  θ ∗ t,rec and  θ t,rec with  θ ∗ t,rol and  θ t,rol , respectively.  P ROOF OF PROPOSITION 3.8. The proof is similar to the proof of Proposition 3.7.  P ROOF OF PROPOSITION 4.5(ii). Note that, via a mean value expansion, ... distribution of 1 √ P  T −1 t=R (  θ t,rec −θ 0 ) is given by Lemma 4.1 and 4.2 in West and McCracken (1998).  P ROOF OF PROPOSITION 3.5. Th...

Ngày tải lên: 04/07/2014, 18:20

... revisions 382 8. Continuous time 383 8.1. Transition equations 383 8.2. Stock variables 385 8.2.1. Structural time series models 385 8.2.2. Prediction 386 8.3. Flow variables 387 8.3.1. Prediction 388 8.3.2. ... “Some consequences of temporal aggregation in seasonal time series models”. In: Zell- ner, A. (Ed.), Seasonal Analysis of Economic Time Series. U.S. Department...

Ngày tải lên: 04/07/2014, 18:20

... vector of random variables, a Bayesian interpretation of the Kalman filter as a way of updating a Gaussian prior distribution on the state to give a posterior is quite natural. The mechanics of filtering, ... its dimension. The total number of parameters in the structural form is N(N + 1) while in the unrestricted reduced form, the covariance matrix of ξ t consists of N(N + 1)/2 d...

Ngày tải lên: 04/07/2014, 18:20

... analysis of leading indicators is essentially the same. 7.5.3. Preliminary observations and data revisions The optimal use of different vintages of observations in constructing the best estimate of ... short run. 7.5. Forecasting and nowcasting with auxiliary series The use of an auxiliary series that is a coincident or leading indicator yields potential gains for nowcasting and...

Ngày tải lên: 04/07/2014, 18:20

... distribution of goals in next match. Number of goals 01234>4 0.471 0.326 0. 138 0.046 0.013 0.005 Ch. 7: Forecasting with Unobserved Components Time Series Models 401 forecasting point of view this ... model by ML gives an estimate of ω of 0.866. This results in an estimate of the probability of Oxford winning a future race of 0.833. The high probability is a reflection...

Ngày tải lên: 04/07/2014, 18:20

... with parameters with economic interpretation, the purpose of fitting these models has mainly been forecasting. Examples of their performance in forecasting macroeconomic vari- ables can be found in Section ... the aim of, among other things, helping the user to choose between these two alternatives. Investigating the PPP hypothesis is just one of many applications of the STR and...

Ngày tải lên: 04/07/2014, 18:20