Showing 1 - 10 of 27
The track record of a sixteen-year history of density forecasts of state tax revenue in Iowa is studied, and potential improvements sought through a search for better performing "priors" similar to that conducted two decades ago for point forecasts by Doan, Litterman, and Sims (Econometric...
Persistent link: https://www.econbiz.de/10010295817
Recent studies have documented the existence of a "predictability smile" in the term structure of interest rates: spreads between long maturity rates and short rates predict subsequent movements in interest rates provided the long horizon is three months or less or if the long horizon is two...
Persistent link: https://www.econbiz.de/10010397438
The paper describes a relative entropy procedure for imposing moment restrictions on simulated forecast distributions from a variety of models. Starting from an empirical forecast distribution for some variables of interest, the technique generates a new empirical distribution that satisfies a...
Persistent link: https://www.econbiz.de/10010397521
Persistent link: https://www.econbiz.de/10005491095
Recent studies have documented the existence of a "predictability smile" in the term structure of interest rates: spreads between long maturity rates and short rates predict subsequent movements in interest rates provided the long horizon is three months or less or if the long horizon is two...
Persistent link: https://www.econbiz.de/10005402004
Persistent link: https://www.econbiz.de/10011161019
The track record of a sixteen-year history of density forecasts of state tax revenue in Iowa is studied, and potential improvements sought through a search for better performing "priors" similar to that conducted two decades ago for point forecasts by Doan, Litterman, and Sims (Econometric...
Persistent link: https://www.econbiz.de/10005083104
We conduct Monte Carlo experiments to examine whether the bound proposed by Hansen and Jagannathan (1991) is a useful device for evaluating asset pricing models. Specifically, we use recently developed statistical tests, which are based on a 'distance' between the model and the...
Persistent link: https://www.econbiz.de/10005802013
This paper develops a dynamic asset pricing model with persistent heterogeneous beliefs. The model features competitive traders who receive idiosyncratic signals about an underlying fundamentals process. We adapt Futia’s (1981) frequency domain methods to derive conditions on the fundamentals...
Persistent link: https://www.econbiz.de/10005727876
We conduct Monte Carlo experiments to examine whether the Hansen and Jagannathan (1991) bound is a useful device for evaluating asset pricing models. Specifically, we use recently developed statistical tests, which are based on a 'distance' between the model and the Hansen-Jagannathan bound, to...
Persistent link: https://www.econbiz.de/10005755344