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Modelling and forecasting UK mortgage arrears and possessions
Aron, Janine; Muellbauer, John - London School of Economics (LSE) - 2010
long-run relationship between possessions and arrears assumed in the previous UK literature. A range of economic forecast …
Persistent link: https://www.econbiz.de/10011126430
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The impact of wealth on consumption and retirement behaviour in the UK
Blake, David - London School of Economics (LSE) - 2002
Housing and pension wealth are shown to be important determinants of personal sector consumption and retirement behaviour in the UK. Housing and state pension wealth have a positive effect on consumption, while private pension wealth promotes greater savings. Greater private defined benefit...
Persistent link: https://www.econbiz.de/10011071212
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Testable implications of forecast optimality
Patton, Andrew J.; Timmermann, Allan - London School of Economics (LSE) - 2005
Evaluation of forecast optimality in economics and finance has almost exclusively been conducted on the assumption of … mean squared error loss under which forecasts should be unbiased and forecast errors serially uncorrelated at the single … period horizon with increasing variance as the forecast horizon grows. This paper considers properties of optimal forecasts …
Persistent link: https://www.econbiz.de/10010744999
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Prediction and signal extraction of strong dependent processess in the frequency domain
Hidalgo, Javier; Yajima, Y. - London School of Economics (LSE) - 2001
We frequently observe that one of the aims of time series analysts is to predict future values of the data. For weakly dependent data, when the model is known up to a finite set of parameters, its statistical properties are well documented and exhaustively examined. However, if the model was...
Persistent link: https://www.econbiz.de/10010745059
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Greece in recession: economic predictions, mispredictions and policy implications
Petralias, Athanassios; Petros, Sotirios; Prodromídis, … - London School of Economics (LSE) - 2013
We look into the available macroeconomic figures and the predictions made about the recession in Greece by international organizations, Greek research centers, and the Greek government; and suggest that the predictions regarding the decline in real GDP in recent years were overly optimistic. The...
Persistent link: https://www.econbiz.de/10011071440
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Portfolio credit risk of default and spread widening
Zhao, Hongbiao - London School of Economics (LSE) - 2011
This paper introduces a new model for portfolio credit risk incorporating default and spread widening in a simple and consistent framework. Credit spreads are modelled by geometric Brownian motions with a dependence structure powered by a t-copula. Their joint evolution drives the spreads...
Persistent link: https://www.econbiz.de/10010745286
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A local instrumental variable estimation method for generalized additive volatility models
Kim, Woocheol; Linton, Oliver - London School of Economics (LSE) - 2004
We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...
Persistent link: https://www.econbiz.de/10010746316
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Developments in the analysis of spatial data
Robinson, Peter - London School of Economics (LSE) - 2008
Disregarding spatial dependence can invalidate methods for analyzing cross-sectional and panel data. We discuss ongoing work on developing methods that allow for, test for, or estimate, spatial dependence. Much of the stress is on nonparametric and semiparametric methods.
Persistent link: https://www.econbiz.de/10010884519
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New Evidence on the Remedies of the Greek Sovereign Debt Problem
APERGIS, Nicholas; COORAY, Arusha - London School of Economics (LSE) - 2013
methodology to perform forecast tests and to calibrate the future paths of the public debt variable up to 2020. The results …
Persistent link: https://www.econbiz.de/10010735153
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New evidence on the remedies of the Greek sovereign debt problem
Apergis, Nicholas; Cooray, Arusha - London School of Economics (LSE) - 2013
methodology to perform forecast tests and to calibrate the future paths of the public debt variable up to 2020. The results …
Persistent link: https://www.econbiz.de/10010745161