Handbook of Economic Forecasting part 60 potx
Handbook of Economic Forecasting part 60 potx
... to
show gains from using GLS detrending for forecasting in this setting.
As noted, for any of the combinations of estimators of ρ and μ taking expectations
of the asymptotic approximation is not really ... relatively smaller, and
the trade-off becomes similar to the results given earlier with the replacement of the
variance of the shocks with the long run variance.
The costs of...
Handbook of Economic Forecasting part 10 potx
... 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...
Handbook of Economic Forecasting part 14 potx
... 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...
Handbook of Economic Forecasting part 43 potx
... 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 of the fact that Oxford won ... 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
forec...
Handbook of Economic Forecasting part 57 potx
... applications of BMA
to economic forecasting have been quite recent.
Most of the applications have been to forecasting financial variables. Avramov (2002)
applied BMA to the problem of forecasting ... from the projection of the original set of predictors onto Z
t
.
In applications to economic forecasting, because of serial correlation in Y
t
,Z
t
might
include lagged valu...
Handbook of Economic Forecasting part 80 potx
... (1975). “Inflation expectations”. Economica 42, 123–138.
Carroll, C. (2003). “Macro -economic expectations of households and professional forecasters”. Quarterly
Journal of Economics CXVIII, 269–298.
Caskey, ... formation of expectations”. Journal of Monetary Economics 1, 403–421.
Friedman, B. (1980). “Survey evidence on the ‘rationality’ of interest rate expectations”. Journal of...
Handbook of Economic Forecasting part 82 potx
... con-
struction of practical measures of ex-post realized volatility that mimic the properties of
the integrated volatility series.
1.2. Final introductory remarks
This section has introduced some of the ... 1.
The rest of the chapter unfolds as follows. Section 2 provides an initial motivating
discussion of several practical uses of volatility forecasts. Sections 3–5 present a v...
Handbook of Economic Forecasting part 83 potx
... for measuring the dynamics of inflation uncertainty. Tools for modeling volatility
dynamics have been applied in many other areas of economics and indeed in other areas
of the social sciences, the ... applications of probability forecasting techniques are considered in
Christoffersen and Diebold (2003).
Financial risk management using dynamic volatility models is surveyed in Christof...
Handbook of Economic Forecasting part 86 potx
... refinement of the Method of Simulated Moments (MSM)
of Duffie and Singleton (1993), representing a particular choice of indirect inference
criterion, or binding function, in the terminology of Gouriéroux, ... Andersen and Sørensen (1996) provide
a systematic study of the choice of moments and weighting matrix for this particular
model. The lack of efficiency is highlighted in And...
Handbook of Economic Forecasting part 95 potx
... growth of the CCI
SW
is not statistically significant. Other major differences
in the components of the two composite leading indexes are the inclusion in CLI
CB
of
M2 and of the index of consumer ... they performed poorly on the ba-
sis of the three criteria listed above, because either economic theory strongly supported
their inclusion or they were part of the CLI
DOC
. Aft...
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