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In order to replace the univariate indicators standard in the literature (cp. [Opp96]) by a multivariate representation of business cycles, the relevant 'stylized facts' are to be identified which optimally characterize the development of business cycle phases. Based on statistical...
Persistent link: https://www.econbiz.de/10009772053
We analyze macroeconomic data using univariate and multivariate forecast combining techniques. We simulate forecast errors with different variance-covariance structures. The simulations are used to compare the performance of univariate and multivariate combining techniques.
Persistent link: https://www.econbiz.de/10009793258
We propose multivariate classification as a statistical tool to describe business cycles. These cycles are often analyzed as a univariate phenomenon in terms of GNP or industrial net production ignoring additional information in other economic variables. Multivariate classification overcomes...
Persistent link: https://www.econbiz.de/10009793278
When a forecaster predicts the future value of a certain random variable it is very likely that he will not only forecast that certain variable but he will also forecast other variables from the same field. In the literature on the combination of several individual forecasts univariate...
Persistent link: https://www.econbiz.de/10009775960