Handbook of Economic Forecasting part 67 pps
Handbook of Economic Forecasting part 67 pps
... Thus, the contribution of the non-linear part of (67) to the overall forecast depends on both the magnitude of the regime shifts, |μ 0 − μ 1 |, and on the persistence of regime shifts p 00 + ... bias-variance trade-off: bias can be reduced at the cost of an inflated forecast-error variance. Notice also that the second term in (57) is of the order of h 2 , so that this trade-off...
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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 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: ... v Contents of the Handbook vii PART 1: FORECASTING METHODOLOGY Chapter 1 Bayesian Forecasting JOHN GEWEKE AND CHARLES WHITEMAN 3 Abstract 4 Keywords 4 1. Introduction 6 2. B...
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Handbook of Economic Forecasting part 3 pps
... Empirical evidence 639 9. Forecasting UK unemployment after three crises 640 9.1. Forecasting 1992–2001 643 9.2. Forecasting 1919–1938 645 9.3. Forecasting 1948–1 967 645 9.4. Forecasting 1975–1994 ... 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
... 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 types of nonlinearities can be considered ... ∈{0, 1, 2, 3}. Here ¯y t+h,t is the sample estimate of the mean of y across the forecasting models while ˆσ yt+h,t is the sample estimate of the standard deviation using da...
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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 ... 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 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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