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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
This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all - or a subset - of the variables may be fractionally integrated and the predictive...
Persistent link: https://www.econbiz.de/10012496124
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On the Aggregation of Probability Assessments : Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - National Bureau of Economic Research - 2022
We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even...
Persistent link: https://www.econbiz.de/10012814410
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Using Wasserstein Generative Adversarial Networks for the Design of Monte Carlo Simulations
Athey, Susan - 2019
their analytic approach to a given setting, and (ii) systematic simulation studies can be helpful for selecting among …
Persistent link: https://www.econbiz.de/10012480510
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One-node Quadrature Beats Monte Carlo : A Generalized Stochastic Simulation Algorithm
Judd, Kenneth - 2011
In conventional stochastic simulation algorithms, Monte Carlo integration and curve fitting are merged together and … stochastic simulation approach in which integration and curve fitting are separated. We specifically allow for the use of … achieve accuracy of solutions that is orders of magnitude higher than that of the conventional stochastic simulation …
Persistent link: https://www.econbiz.de/10012461949
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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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Estimating Event Probabilities from Macroeconomic Models Using Stochastic Simulation
Fair, Ray C. - 1991
stochastic simulation. One can estimate, for example, the probability of a recession occurring within some fixed period in the … present procedure is that the probabilities estimated from the stochastic simulation are objective in the sense that they are …
Persistent link: https://www.econbiz.de/10012475201
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Forecast Evaluation of Small Nested Model Sets
Hubrich, Kirstin - 2008
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures compare the benchmark to all the alternative models simultaneously rather than sequentially, and do...
Persistent link: https://www.econbiz.de/10012464046
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Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
West, Kenneth D. - 2006
normal critical values will yield actual sizes close to, but a little less than, nominal size. Simulation evidence supports …
Persistent link: https://www.econbiz.de/10012466235
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A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
Brandt, Michael W. - 2004
We present a simulation-based method for solving discrete-time portfolio choice problems involving non … dividend yield. We then explore the problem of an investor who takes into account the predictability of returns but is …
Persistent link: https://www.econbiz.de/10012467753
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Near-Rational Equilibria in Heterogeneous-Agent Models : A Verification Method
Kogan, Leonid; Mitra, Indrajit - National Bureau of Economic Research - 2022
We propose a general simulation-based procedure for estimating quality of approximate policies in heterogeneous …
Persistent link: https://www.econbiz.de/10013334330