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Forecasting the Global Electronics Cycle with Leading Indicators: A VAR Approach

Choy, Keen Meng; Chow, Hwee Kwan - Econometric Society - 2004

constructing a VAR model that captures the economic interactions between leading indicators representing expectations, investments … causality tests. The VAR model is also used to derive the dynamic paths of adjustment of global chip sales in response to shocks … leading quality of the selected indicators. Finally, out-of-sample forecasts of global chip sales are generated from the VAR …

Persistent link: https://www.econbiz.de/10005063677

What moves GNP?

Uhlig, Harald - Econometric Society - 2004

shocks in the context of a VAR model, which explain the majority of the k-step ahead prediction error variances in real GNP …

Persistent link: https://www.econbiz.de/10005699655

Bagging Time Series Models

Kilian, Lutz; Inoue, Atsushi - Econometric Society - 2004

A common problem in out-of-sample prediction is that there are potentially many relevant predictors that individually have only weak explanatory power. We propose bootstrap aggregation of pre-test predictors (or bagging for short) as a means of constructing forecasts from multiple regression...

Persistent link: https://www.econbiz.de/10005342193

Regime Switching for Dynamic Correlations

Pelletier, Denis - Econometric Society - 2004

We propose a new model for the variance between multiple time series, the Regime Switching Dynamic Correlation. We decompose the covariances into correlations and standard deviations and the correlation matrix follow a regime switching model; it is constant within a regime but different across...

Persistent link: https://www.econbiz.de/10005342253

SMOOTH TEST OF DENSITY FORECAST EVALUATION WITH INDEPENDENT AND SERIALLY DEPENDENT DATA

Ghosh, Aurobindo; Bera, Anil K. - Econometric Society - 2004

Recently financial econometricians have shifted their attention from point and interval forecasts to density forecasts mainly to address the issue of the huge loss of information that results from depicting portfolio risk by a measure of dispersion alone. One of the major problems in this area...

Persistent link: https://www.econbiz.de/10005342281

Forecasting Industry-Level CPI and PPI Inflation: Does Exchange Rate Pass-Through Matter?

Thomakos, Dimitrios D.; Bhattacharya, Prasad S. - Econometric Society - 2004

In this paper, we examine whether industry-level forecasts of CPI and PPI inflation can be improved using the ``exchange rate pass-through" effect, that is, when one accounts for the variability of the exchange rate and import prices. An exchange rate depreciation leading to a higher level of...

Persistent link: https://www.econbiz.de/10005702549

Constructing a Coincident Index of Business Cycles Without Assuming a One-Factor Model

Murasawa, Yasutomo; Mariano, Roberto S. - Econometric Society - 2004

paper estimates a VAR model for latent monthly real GDP and other indicators using the observable mixed-frequency series …

Persistent link: https://www.econbiz.de/10005702747

Macroeconomic Forecasting with Independent Component Analysis

Yau, Ruey - Econometric Society - 2004

This paper considers a factor model in which independent component analysis (ICA) is employed to construct common factors out of a large number of macroeconomic time series. The ICA has been regarded as a better method to separate unobserved sources that are statistically independent to each...

Persistent link: https://www.econbiz.de/10005702764

Testing Weak Exogeneity in Cointegrated System

Chiying, Hsiao; Pu, Chen - Econometric Society - 2004

This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To...

Persistent link: https://www.econbiz.de/10005086413

A VECM Model of Stockmarket Returns

Sreedharan, Nagaratnam J - Econometric Society - 2004

Observations of security prices and other financial time series usually include not only the close (C), but also an open, a high and a low (O,H,L) price for a specified interval. The multivariate vector of values (H,L,O,C) is obviously more informative than just the open or close (O, C) for...

Persistent link: https://www.econbiz.de/10005702551

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