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Real-Time Multivariate Density Forecast Evaluation and Calibration : Monitoring the Risk of High-Frequency Returns on Foreign Exchange
Diebold, Francis X. - 1998
We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions...
Persistent link: https://www.econbiz.de/10012471967
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Regression-Based Tests of Predictive Ability
West, Kenneth D. - 1998
We develop regression-based tests of hypotheses about out of sample prediction errors. Representative tests include ones for zero mean and zero correlation between a prediction error and a vector of predictors. The relevant environments are ones in which predictions depend on estimated...
Persistent link: https://www.econbiz.de/10012472373
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Optimal Prediction Under Asymmetric Loss
Christoffersen, Peter F. - 1994
Prediction problems involving asymmetric loss functions arise routinely in many fields, yet the theory of optimal …
Persistent link: https://www.econbiz.de/10012474036
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Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity
Konishi, Toru - 1993
This paper re-examines the relationship between financial variables and real activity in a unified statistical framework. Using the methods of cointegration and separation. we characterize the long-run and short-run relationships between three sets of variables and then use the framework to...
Persistent link: https://www.econbiz.de/10012474687
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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
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Bayesian Averaging, Prediction and Nonnested Model Selection
Hong, Han - 2008
This paper studies the asymptotic relationship between Bayesian model averaging and post-selection frequentist predictors in both nested and nonnested models. We derive conditions under which their difference is of a smaller order of magnitude than the inverse of the square root of the sample...
Persistent link: https://www.econbiz.de/10012464362
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Consistent Inference for Predictive Regressions in Persistent Economic Systems
Andersen, Torben; Varneskov, Rasmus Tangsgaard - National Bureau of Economic Research - 2021
procedures, we establish a uniform Gaussian limit theory and a standard χ2-distributed test statistic. Using LCM inference and …
Persistent link: https://www.econbiz.de/10012496122
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Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions
Andersen, Torben; Varneskov, Rasmus Tangsgaard - National Bureau of Economic Research - 2021
theory for the tests, showing that it coincides with standard testing procedures. As a consequence, existing critical values …
Persistent link: https://www.econbiz.de/10012496124
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A Flexible Model of Food Security : Estimation and Implications for Prediction
Davis, Will; Xilau, Jose O.; Tchernis, Rusty; Gregory, … - National Bureau of Economic Research - 2024
We propose a novel Bayesian Graded Response Model (BGRM) for food security measurement. Our BGRM has several attractive features. It produces continuous food security estimates and measures of estimation uncertainty at the household level. Unlike the USDA's official measurement model, the BGRM...
Persistent link: https://www.econbiz.de/10014544738
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Global Natural Rates in the Long Run : Postwar Macro Trends and the Market-Implied r* in 10 Advanced Economies
Davis, Joshua M.; Fuenzalida, Cristian; Huetsch, Leon; … - National Bureau of Economic Research - 2023
theory and previous findings …
Persistent link: https://www.econbiz.de/10014421212