Handbook of Economic Forecasting part 61 ppsx
Handbook of Economic Forecasting part 61 ppsx
... for ρ = 1 − γ/T that in Ch. 11: Forecasting with Trending Data 577 Figure 7. Ratio of MSE of unit root forecasting model to MSE of optimal forecast as a function of λ – mean case. T −1/2 (y T +h − ... about the dynamics of the cointegrating vector c t , which as we have stated will affect the usefulness of the cointegrating vector in forecasting future values of y. The dyn...
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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 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 ... low values of the discount factor. In a combination of forecasts from the Survey of Professional Forecasters and fore- casts from simple autoregressive models applied to six macroe...
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Handbook of Economic Forecasting part 27 ppsx
... predictability of exchange rates was one of the driving force behind the literature on out -of- sample comparison of nested models. 4.2.1. Clark and McCracken tests Within the context of nested linear ... acknowledge that the objective of interest is often to choose a model which provides the best (loss function specific) out -of- sample predictions, from amongst a set of potential...
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Handbook of Economic Forecasting part 42 ppsx
... optimal estimates) of future observations and components are linear functions of the observations and all other char- acteristics of the conditional distributions are independent of the observations. ... is in the range 0 to 1.268. 386 A. Harvey In view of the simple structure of the matrix exponential, the evaluation of the covari- ance matrix of the discrete time disturbance...
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Handbook of Economic Forecasting part 59 ppsx
... (1999). Forecasting inflation”. Journal of Monetary Economics 44, 293–335. Stock, J.H., Watson, M.W. (2002a). “Macroeconomic forecasting using diffusion indexes”. Journal of Busi- ness and Economic ... number of general points regarding the problem of forecasting with nonstationary or near nonstationary variables and highlight the differences and similar- ities in forecasting...
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Handbook of Economic Forecasting part 87 ppsx
... true state of the volatility at the end of the period. This, of course, can be critically important for accurate forecasting. In sum, the use of the realized volatility measures for forecasting ... correlation forecasting plays an equal, if not even more important, role in the uses of volatility forecasts. Fortunately, many of the same ideas and procedures discussed in the c...
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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 ... TITLES HANDBOOK OF EXPERIMENTAL ECONOMICS RESULTS Editors Charles Plott and Vernon L. Smith HANDBOOK ON THE ECONOMICS OF ART AND CULTURE Editors Victor Ginsburgh and...
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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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