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Detrending Persistent Predictors.
Boucher, Christophe; Maillet, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011
returns. This paper proposes to stand up to the usual problem of persistent regressor bias, by detrending the highly auto … are adjusted for high persistence. …
Persistent link: https://www.econbiz.de/10009003411
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Conditional means of time series processes and time series processes for conditional means
Fiorentini, Gabriele; Iváñez, Enrique Sentana - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1997
coefficient. We also compare the persistence of shocks to the conditional mean relative to the observed variable using mea sures … of total and iterim persistence of shocks for stationary processes based on the impulse response function. We apply our …
Persistent link: https://www.econbiz.de/10008542870
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Does the Phillips curve help to forecast euro area inflation?
Banbura, Marta; Bobeica, Elena - 2020
; (iv) newer generation Phillips curve models with several timevarying features are a promising avenue for forecasting …
Persistent link: https://www.econbiz.de/10012422133
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Does the Phillips curve help to forecast euro area inflation?
Bańbura, Marta; Bobeica, Elena - 2020
; (iv) newer generation Phillips curve models with several timevarying features are a promising avenue for forecasting …
Persistent link: https://www.econbiz.de/10012299084
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“Effects of removing the trend and the seasonal component on the forecasting performance of artificial neural network techniques”
Claveria, Oscar; Monte, Enric; Torra, Salvador - Institut de Recerca en Economia Aplicada (IREA), … - 2015
This study aims to analyze the effects of data pre-processing on the performance of forecasting based on neural network … demand to Catalonia (Spain) and compare the forecasting accuracy of four processing methods for the input vector of the … networks: levels, growth rates, seasonally adjusted levels and seasonally adjusted growth rates. When comparing the forecasting …
Persistent link: https://www.econbiz.de/10011124425
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“Effects of removing the trend and the seasonal component on the forecasting performance of artificial neural network techniques”
Claveria, Oscar; Monte, Enric; Torra, Salvador - Facultat d'Economia i Empresa, Universitat de Barcelona - 2015
This study aims to analyze the effects of data pre-processing on the performance of forecasting based on neural network … demand to Catalonia (Spain) and compare the forecasting accuracy of four processing methods for the input vector of the … networks: levels, growth rates, seasonally adjusted levels and seasonally adjusted growth rates. When comparing the forecasting …
Persistent link: https://www.econbiz.de/10011194344
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Economic Valuation of Liquidity Timing
Karstanje, Dennis; Sojli, Elvira; Tahm, Wing Wah; van … - 2013
This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation strategies to evaluate the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value of the out-of-sample power of empirical models based on different...
Persistent link: https://www.econbiz.de/10010326356
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A forecast evaluation of expected equity return measures
Chin, Michael; Polk, Christopher - 2015
Persistent link: https://www.econbiz.de/10010497568
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Economic valuation of liquidity timing
Karstanje, Dennis; Sojli, Elvira; Tham, Wing Wah; Wel, … - 2013
Persistent link: https://www.econbiz.de/10010191204
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A forecast evaluation of expected equity return measures
Chin, Michael; Polk, Christopher - Bank of England - 2015
their ability to capture expected returns. We assess the forecasting performance of two popular approaches to estimating …
Persistent link: https://www.econbiz.de/10011122772