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Forecast-error-based estimation of forecast uncertainty when the horizon is increased
Knüppel, Malte - 2014
(2014) in order to relax the condition on the data structure required for the SUR estimator to be independent from unknown … quantities. It turns out that the SUR estimator of forecast uncertainty tends to deliver large efficiency gains compared to the … OLS estimator (i.e. the sample mean of the squared forecast errors) in the case of increased forecast horizons. The SUR …
Persistent link: https://www.econbiz.de/10010465566
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Efficient estimation of forecast uncertainty based on recent forecast errors
Knüppel, Malte - Deutsche Bundesbank - 2009
Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the...
Persistent link: https://www.econbiz.de/10008533612
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Forecast-error-based estimation of forecast uncertainty when the horizon is increased
Knüppel, Malte - 2014
(2014) in order to relax the condition on the data structure required for the SUR estimator to be independent from unknown … quantities. It turns out that the SUR estimator of forecast uncertainty tends to deliver large efficiency gains compared to the … OLS estimator (i.e. the sample mean of the squared forecast errors) in the case of increased forecast horizons. The SUR …
Persistent link: https://www.econbiz.de/10010464545
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Forecast-error-based estimation of forecast uncertainty when the horizon is increased
Knüppel, Malte - Deutsche Bundesbank - 2014
(2014) in order to relax the condition on the data structure required for the SUR estimator to be independent from unknown … quantities. It turns out that the SUR estimator of forecast uncertainty tends to deliver large e¢ ciency gains compared to the … OLS estimator (i.e. the sample mean of the squared forecast errors) in the case of increased forecast horizons. The SUR …
Persistent link: https://www.econbiz.de/10011124452
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Assessing the uncertainty in central banks' inflation outlooks
Knüppel, Malte; Schultefrankenfeld, Guido - 2019
Recent research has found that macroeconomic survey forecasts of uncertainty exhibit several deficiencies, such as horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation uncertainty forecasts from the Bank of England, the Banco...
Persistent link: https://www.econbiz.de/10011962843
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SVARs identification through bounds on the forecast error variance
Volpicella, Alessio - 2019
Sign-restricted Structural Vector Autoregressions (SVARs) are increasingly common. However, they usually result in a set of structural parameters that have very different implications in terms of impulse responses, elasticities, historical decomposition and forecast error variance decomposition...
Persistent link: https://www.econbiz.de/10012037315
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Efficient Estimation of Forecast Uncertainty Based on Recent Forecast Errors
Knüppel, Malte - 2016
Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the...
Persistent link: https://www.econbiz.de/10012991108
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Industry and Time Specific? An Examination of Bankruptcy Forecasting
Cooksley, Ben - 2016
The purpose of this research is to determine whether bankruptcy forecasting models are subject to industry and time specific effects. A sample of 15,848 firms was obtained from the Compustat and CRSP databases, spanning the time period 1950 to 2013, of which 396 were bankrupt. Using five models...
Persistent link: https://www.econbiz.de/10013000033
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Forecasting inflation in Argentina
Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018
In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...
Persistent link: https://www.econbiz.de/10011882797
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Modeling and Forecasting a Firm's Financial Statements with a VAR-VECM Model
Doornik, Bernardus Ferdinandus Nazar Van; de Medeiros, … - 2009
This paper details efforts at developing and estimating a Vector Autoregressive (VAR) econometric model representative of the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, this work was carried out as a case study, where...
Persistent link: https://www.econbiz.de/10014211147