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Linearity testing and nonlinear modelling of economic time series
Teräsvirta, Timo - 1993
Persistent link: https://www.econbiz.de/10000860384
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Forecasting inflation using dynamic model averaging
Koop, Gary; Korobilis, Dimitris - 2011
Persistent link: https://www.econbiz.de/10009231252
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Annals of econometrics: forecasting and empirical methods in finance and macroeconomics
Diebold, Francis X. (contributor);  … - 2001
Persistent link: https://www.econbiz.de/10001617180
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Predicting the Oil Market
Calomiris, Charles W.; Melek, Nida Çakır; Mamaysky, Harry - National Bureau of Economic Research - 2021
We study the performance of many traditional and novel, text-based variables for in-sample and out-of-sample forecasting of oil spot, futures, and energy company stock returns, and changes in oil volatility, production, and inventories. After controlling for small-sample biases, we find evidence...
Persistent link: https://www.econbiz.de/10012660057
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Seasonal Unit Roots in Aggregate U.S. Data
Beaulieu, J. Joseph - 1992
In this paper we provide evidence on the presence of seasonal unit roots in aggregate U.S. data. The analysis is conducted using the approach developed by Hyllebcrg, Engle, Granger and Yoo (1990). We first derive the mechanics and asyrnptotics of the HEGY procedure for monthly data and use Monte...
Persistent link: https://www.econbiz.de/10012474842
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Business Cycle Properties of Selected U.S. Economic Time Series, 1959-1988
Stock, James H. - 1990
This paper catalogs the business cycle properties of 163 monthly U.S. economic time series over the three decades from 1959 through 1988. Two general sets of summary statistics are reported. The first set measures the comovement of each individual time series with a reference series representing...
Persistent link: https://www.econbiz.de/10012475657
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Bayesian Variable Selection for Nowcasting Economic Time Series
Scott, Steven L. - 2013
We consider the problem of short-term time series forecasting (nowcasting) when there are more possible predictors than observations. Our approach combines three Bayesian techniques: Kalman filtering, spike-and-slab regression, and model averaging. We illustrate this approach using search engine...
Persistent link: https://www.econbiz.de/10012459094
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Modelling nonlinearity in US gross national product 1889 - 1987
Teräsvirta, Timo - 1993
Persistent link: https://www.econbiz.de/10000860383
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Time variation in the dynamics of worker flows : evidence from the US and Canada
Campolieti, Michele; Gefang, Deborah; Koop, Gary - 2011
Persistent link: https://www.econbiz.de/10009531109
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Probabilistic Prediction for Binary Treatment Choice : with Focus on Personalized Medicine
Manski, Charles F. - National Bureau of Economic Research - 2021
This paper extends my research applying statistical decision theory to treatment choice with sample data, using maximum … in indirect ways, the former applying classical statistical theory and the latter measuring prediction accuracy in test … samples. Neither approach is satisfactory. Statistical decision theory provides a coherent, generally applicable methodology …
Persistent link: https://www.econbiz.de/10012660036