Showing 1 - 10 of 592
long-run relationship between possessions and arrears assumed in the previous UK literature. A range of economic forecast …
Persistent link: https://www.econbiz.de/10008611018
study, the first of its kind for an emerging market country, investigates gains to inflation forecast accuracy by …
Persistent link: https://www.econbiz.de/10008553067
criterion, commonly used in VARs to select lag length, with a ‘parsimonious longer lags’ (PLL) parameterisation. Forecast … pooling or averaging also improves forecast performance. …
Persistent link: https://www.econbiz.de/10008468684
current inflation models fail to forecast turning points adequately, because they miss key underlying long-run influences. The …
Persistent link: https://www.econbiz.de/10005123809
Time series models are often adopted for forecasting because of their simplicity and good performance. The number of parameters in these models increases quickly with the number of variables modelled, so that usually only univariate or small-scale multivariate models are considered. Yet, data...
Persistent link: https://www.econbiz.de/10005661430
volatility of interest rates. For this, we derive a Bayesian prior from a GATSM and use it to estimate the coefficients of a BVAR … for the term structure, specifying a common, multiplicative, time varying volatility for the VAR disturbances. Results …
Persistent link: https://www.econbiz.de/10011083412
This paper studies the asymmetric behavior of negative and positive values of analysts' earnings revisions and links it to the conservatism principle of accounting. Using a new three-state mixture of log-normals model that accounts for differences in the magnitude and persistence of positive,...
Persistent link: https://www.econbiz.de/10008468633
In this paper we develop a multivariate threshold vector error correction model of spot and forward exchange rates that allows for different forms of equilibrium reversion in each of the cointegrating residual series. By introducing the notion of an indicator matrix to differentiate between the...
Persistent link: https://www.econbiz.de/10005666602
This Paper considers the problems facing decision-makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated...
Persistent link: https://www.econbiz.de/10005791710
We extend the standard approach to Bayesian forecast combination by forming the weights for the model averaged forecast … greater protection against in-sample overfitting and improves forecast performance. For the predictive likelihood we show … analytically that the forecast weights have good large and small sample properties. This is confirmed in a simulation study and an …
Persistent link: https://www.econbiz.de/10005792336