Handbook of Economic Forecasting part 47 pps
Handbook of Economic Forecasting part 47 pps
... equations of the model have the form (36)f(y t , x t , θ) = ε t where f is an n × 1 vector of functions of the n endogenous variables y t , x t is a vector of exogenous variables, {ε t } a sequence of ... (1984). The order of bias in these forecasts has been a topic of discussion, and Brown and Mariano showed that the order of bias in skeleton forecasts is O(1). Ch. 8: Foreca...
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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 ... outlier 625 innovations 364 INSÉE 747 FORTHCOMING TITLES HANDBOOK OF EXPERIMENTAL ECONOMICS RESULTS Editors Charles Plott and Vernon L. Smith HANDBOOK ON THE ECONOMIC...
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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: ... 463 2.2. Nonlinearity 466 CONTENTS OF VOLUME 1 Introduction to the Series v Contents of the Handbook vii PART 1: FORECASTING METHODOLOGY Chapter 1 Bayesian Forecasting JOH...
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Handbook of Economic Forecasting part 3 pps
... 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. Forecasting 1975–1994 647 9.5. Overview 647 10. ... 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...
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Handbook of Economic Forecasting part 6 ppsx
... 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 future values of y may be known, ... 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...
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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...
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Handbook of Economic Forecasting part 20 pps
... or the use of rolling estimation windows. The first combination scheme uses a rolling window of the most recent v observations based on the forecasting models’ relative performance 11 (47) ˆ ω BG1 t,t−h,i = ( t τ ... 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 ty...
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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...
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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 ... Timmermann Table 2 Linear Models. Out -of- sample forecasting performance of combination schemes applied to linear models. Each panel reports the out -of- sample MSFE – relative to t...
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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...
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