Handbook of Economic Forecasting part 68 pptx
Handbook of Economic Forecasting part 68 pptx
... autoregressions”. Journal of Business and Economic Statistics 21, 196–211. Clements, M.P., Smith, J. (1999). “A Monte Carlo study of the forecasting performance of empirical SETAR models”. Journal of Applied ... Bulletin of Economics and Statistics 67, 931–956. Clements, M.P., Krolzig, H M. (1998). “A comparison of the forecast performance of Markov-switching and threshold a...
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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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Handbook of Economic Forecasting part 19 pptx
... performance up to time t – gets a weight of (1 +¯ω)/αN. Similarly, a proportion α of models gets a weight of −¯ω/αN. The larger the value of α, the wider the set of top and bottom models that are used ... Armstrong (1989). This is particularly impor- tant when forecasting with nonlinear models whose predictions are often implausible and can lie outside the empirical range of the...
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Handbook of Economic Forecasting part 32 pptx
... Review of Economic Statistics 59, 540–550. Teräsvirta, T. (2006). Forecasting economic variables with nonlinear models”. In: Elliott, G., Granger, C.W.J., Timmermann, A. (Eds.), Handbook of Economic ... representations of the process will be convenient to work with in particular situations. Another useful representation of a stationary VARMA PART 2 FORECASTING MODELS Chap...
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Handbook of Economic Forecasting part 37 pptx
... annual rate of 4.4%. The RMSE was one fifth of the level. The headline figure is 3.1%, but at the end of the year it was back up to 4.6%. The effectiveness of these simple measures of change depends ... Survey (LFS), which consists of a rotating sam- ple of approximately 60,000 households. Another measure of unemployment, based on administrative sources, is the number of peopl...
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Handbook of Economic Forecasting part 48 pptx
... functions: the MSFE and a payoff criterion based on the economic value of the forecast (forecasting the direction of change). When the MSFE increases, the probability of correctly forecasting the direction ... Journal of Forecasting 20, 185–199. Corradi, V., Swanson, N.R. (2006). “Predictive density evaluation”. In: Elliott, G., Granger, C.W.J., Timmer- mann, A. (Eds.), Handbo...
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Handbook of Economic Forecasting part 50 pptx
... choice of the basis itself or of the elements of the dic- tionary. Section 8 of DeVore’s (1998) comprehensive survey is devoted to a discussion of the so far somewhat fragmentary degree of approximation ... in more frequently observed regions of the distribution of X t , at the cost of being less accurate in less frequently observed regions of the distribution of X t . I...
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Handbook of Economic Forecasting part 53 pptx
... direct consequence of the challenging nonconvexity of the NLS objective function induced by the nonlinearity in parameters of the ANN model, coupled with our choice of a new set of random starting values ... indicator of which polynomial model to select. Our experiments so far have revealed some interesting properties of our methods, but because of the extremely challenging re...
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Handbook of Economic Forecasting part 66 pptx
... IOs, as well as reducing the power of the tests of LS. Ch. 12: Forecasting with Breaks 631 7. Ad hoc forecasting devices When there are structural breaks, forecasting methods which adapt quickly ... relations that they study. A number of authors have noted that empirical-accuracy studies of univariate time-series forecasting models and methods of- ten favor ad hoc forecasti...
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Handbook of Economic Forecasting part 74 pptx
... Mimeo, Faculty of Economics, University of Algarve. Herwartz, H. (1997). “Performance of periodic error correction models in forecasting consumption data”. International Journal of Forecasting 13, ... long-horizon forecasting . Journal of Business and Economic Statistics 16, 450–458. Clements, M.P., Hendry, D.F. (1993). “On the limitations of comparing mean square forecast...
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