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Assessing Forecast Performance in a VEC Model: An Empirical Examination
Bragoudakis, Zacharias - EconWPA - 2005
This paper is an exercise in applied macroeconomic forecasting. We examine the forecasting power of a vector error … expenditure as suggested by the economic theory. We compare the estimated forecasting values of the endogenous variables to the …
Persistent link: https://www.econbiz.de/10005556281
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Assessing Forecast Performance in a VEC Model: An Empirical Examination
Zacharias, Bragoudakis - EconWPA - 2005
This paper is an exercise in applied macroeconomic forecasting. We examine the forecasting power of a vector error … expenditure as suggested by the economic theory. We compare the estimated forecasting values of the endogenous variables to the … ability of the model to forecast not only one-period ahead but also many periods into the future. Keywords: Cointegration …
Persistent link: https://www.econbiz.de/10005119198
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ON THE FORECASTABILITY OF ASEAN-5 STOCK MARKETS RETURNS USING TIME SERIES MODELS
Liew, Khim-Sen; Lim, Kian-Ping; Choong, Chee-Keong - EconWPA - 2003
This study examines the forecastability of ASEAN-5 stock market returns using linear and non-linear time series models. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the behaviour of these returns do not follow random walk...
Persistent link: https://www.econbiz.de/10005076958
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STOCK MARKET VALUATION IN THE UNITED STATES
BISCIARI, Patrick; DURRE, Alain; NYSSENS, Alain - EconWPA - 2003
This paper gives an overview of some issues related to market aluation, focusing on the developments on the New York equity markets. The 42.4 p.c. fall in the S&P 500 price index between 24 March 2000 - when it reached its all-time high - and 31 December 2002 is situated in a very long term...
Persistent link: https://www.econbiz.de/10005125064
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Forecasting Regional Employment in Germany by Means of Neural Networks and Genetic Algorithms
Patuelli, Roberto; Longhi, Simonetta; Reggiani, Aura; … - EconWPA - 2005
The aim of this paper is to develop and apply Neural Network (NN) models in order to forecast regional employment patterns in Germany. NNs are statistical tools based on learning algorithms with a distribution over a large amount of quantitative data. NNs are increasingly deployed in the social...
Persistent link: https://www.econbiz.de/10005134566
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APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES
Guida, Tony; Matringe, Olivier - EconWPA - 2005
This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare … different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to …
Persistent link: https://www.econbiz.de/10005134650
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Proxying for Expected Returns with Price Earnings Ratios
Hansen, Charlotte S.; Tuypens, Bjorn E. - EconWPA - 2004
ratio when forecasting long-run returns. The empirical results for the S&P 500 show the superiority of our approach to …
Persistent link: https://www.econbiz.de/10005134659
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Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability
Rossi, Barbara - EconWPA - 2005
Many authors have documented that it is challenging to explain exchange rate fluctuations with macroeconomic fundamentals: a random walk forecasts future exchange rates better than existing macroeconomic models. This paper applies newly developed tests for nested model that are robust to the...
Persistent link: https://www.econbiz.de/10005062396
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Forecasting the Manhattan office market with a simultaneous equation model
Fuerst, Franz - EconWPA - 2004
In order to explore the predictability of the Manhattan office market, a three-stage simultaneous equation model is applied in this paper. The first stage incorporates the office space market in terms of occupied space and absorption of new space. The second stage captures the adjustment of...
Persistent link: https://www.econbiz.de/10005062516
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Review of Steven J. Rosenstone, Forecasting Presidential Elections (published by Yale University Press, New Haven, CT, 1983))
Armstrong, J. S. - EconWPA - 2005
Rosenstone develops a causal model to forecast political voting. The model seems reasonable; for example, it includes information about party, key issues, the economy, war, incumbency, region, and trends over time. Standard econometric methods are then used to determine how much weight should be...
Persistent link: https://www.econbiz.de/10005062661