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Integration of Statistical Methods and Judgment for Time Series

Armstrong, JS; Collopy, Fred - EconWPA - 2004

We consider how judgment and statistical methods should be integrated for time-series forecasting. Our review of … judgment; combining forecasts; revising extrapolations; rule-based forecasting; and econometric forecasting. This literature … the future as well as for the past, we recommend rule- based forecasting or econometric methods. …

Persistent link: https://www.econbiz.de/10005119422

Extraction of Common Signal from Series with Different Frequency

Otranto, Edoardo - EconWPA - 2005

The extraction of a common signal from a group of time series is generally obtained using variables recorded with the same frequency or transformed to have the same frequency (monthly, quarterly, etc.). The statistical literature has not paid a great deal of attention to this topic. In this...

Persistent link: https://www.econbiz.de/10005407970

Is Schumpeterian "Creative Destruction" a Plausible Source of Endogenous Real Business Cycle Shocks?

Phillips, Kerk L.; Wrase, Jeff - EconWPA - 2003

, can Schumpeter’s creative destruction process which leads to technological improvement over time also generate realistic … counterparts to determine if the model mimics the real world closely. One advantage our approach has over the standard approach is … particular filtering method when we compare simulations with the real world data. Quantitative analysis reveals the model is at …

Persistent link: https://www.econbiz.de/10005125621

Joseph Schumpeter and Modern Nonlinear Dynamics

Barnett, William; Rose, Morgan - EconWPA - 2005

modern research has proven Schumpeter correct is not made, but rather that existing recent research is not inconsistent with …

Persistent link: https://www.econbiz.de/10005126083

INOVATIONS - ENTREPRENEURSHIP - CREDIT in the Theory of J.A. Schumpeter

Kyn, Oldrich - EconWPA - 2005

Short explanation of Schumpeter's concepts of dynamics, innovations and entrepreneurship. It is argued, that …

Persistent link: https://www.econbiz.de/10005062408

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

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

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

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

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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