Handbook of Economic Forecasting part 99 docx

... (2003). “Properties of optimal forecasts”. CEPR DP4037. Phillips, K.R. ( 1998 – 1999 ). “The composite index of leading economic indicators: A comparison of ap- proaches”. Journal of Economic and Social ... (Eds.), Handbook of Macroeconomics, vol. IA. North-Holland, Amsterdam. Stock, J.H., Watson, M.W. ( 1999 b). “A comparison of linear and nonlinear univariate models for f...

Ngày tải lên: 04/07/2014, 19:20

... linear combination of the elements of  Y (his exam- ple of such a function of interest is a discounted sum) will be distributed as univariate Student-t, so that expectations of such linear combinations ... applications of Metropolis within Gibbs in Bayesian forecasting models. 3.3. The full Monte We are now in a position to complete the practical Bayesian agenda for forecastin...

Ngày tải lên: 04/07/2014, 18:20

... of the outcome of the conventional procedure for determining the rank of the error correction matrix. The paper offers an extensive comparison of root mean square forecasting errors for all of ... AR(p) model One of the simplest models of serial correlation in ε t is an autoregression of order p. The contemporary Bayesian treatment of this problem [see Chib and Greenberg (...

Ngày tải lên: 04/07/2014, 18:20

... Tallman, E.W. ( 1999 a). “Vector autoregressions: Forecasting and reality”. Federal Reserve Bank of Atlanta Economic Review 84 (First Quarter), 4–18. Robertson, J.C., Tallman, E.W. ( 1999 b). “Improving ... Wiley, New York. Lesage, J.P. ( 1990 ). “A comparison of the forecasting ability of ECM and VAR models”. The Review of Economics and Statistics 72, 664–671. Ch. 2: Forecasti...

Ngày tải lên: 04/07/2014, 18:20

... discussed in the next section. 7. A small number of models, nested, Part II Leading competitors of MSPE for the most part are encompassing tests of various forms. Theoretical results for the first ... Ee 1t+1 x t = 0 with out of sample prediction errors. The remainder of this section considers the implications of a test that does fail the rank condition of the theory of the...

Ngày tải lên: 04/07/2014, 18:20

... performance. 3.2. Out -of- sample implementation of Bai as well as Hong and Li tests We begin by analyzing the out -of- sample versions of Bai’s (2003) test. Define the out- of- sample version of the statistic ... use the stationary bootstrap of Politis and Romano ( 1994 a, 1994 b).Themain difference between the block bootstrap and the stationary bootstrap of Politis and Romano ( 19...

Ngày tải lên: 04/07/2014, 18:20

... of the estimation scheme used, the contribution of parameter estimation error is asymptotically negligible. 3.3. Out -of- sample implementation of Corradi and Swanson tests We now outline out -of- sample ... following sections, application of Theorem 3.6 allows us to capture the contribution of (recur- sive) parameter estimation error to the covariance kernel of the limiting distr...

Ngày tải lên: 04/07/2014, 18:20

... →∞. P ROOF. For the proof of part (ii), see Appendix B.  Note that under the null, the least favorable case arises when E(g(u 1,t+1 ) − g(u k,t+1 )) = 0, ∀k. In this case, the distribution of S P coincides ... Swanson models. The test is based on an out -of- sample version of the integrated conditional mo- ment (ICM) test of Bierens (1982, 1990 ) and Bierens and Ploberger ( 1997 )....

Ngày tải lên: 04/07/2014, 18:20

... ( 1999 ). “Multivariate detrending under common trend restrictions: Implications for business cycle research”. Journal of Economic Dynamics and Control 23, 997 –1028. Krane, S., Wascher, W. ( 1999 ). ... performance of periodic autoregressive models in forecasting U.K. consumption”. Journal of Business and Economic Statistics 7, 117–127. Patterson, K.D. ( 1995 ). “An integrated m...

Ngày tải lên: 04/07/2014, 18:20

... Ahn and Reinsel ( 1994 ), Clements and Hendry ( 1993 ), Lin and Tsay ( 1996 ) and Christoffersen and Diebold ( 1998 ). The last of these, in particular, shows that the incorporation of cointegration restrictions ... ( 1991 ), Franses ( 1994 ) and Boswijk and Franses ( 1996 ). Applications of PAR models include, for example, Birchenhall et al. (1989), Novales and Flores de Fruto ( 1997 )...

Ngày tải lên: 04/07/2014, 18:20