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Forecasting time series subject to multiple structural breaks

Pettenuzzo, Davide; Pesaran, M. Hashem; Timmermann, Allan - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking account of the size and duration of past breaks (if...

Persistent link: https://www.econbiz.de/10011450047

Direct distribution of rents and the resource curse in Iran : a micro-econometric analysis

Farzanegan, Mohammad Reza; Habibpour, Mohammad - 2014

Our goal is to examine the income inequality and welfare effects of the direct distribution of resource rents and subsequent taxation in Iran. We use rich micro survey data covering more than 36,000 Iranian households in 2009. Our micro-simulations show that the direct distribution of resource...

Persistent link: https://www.econbiz.de/10010361509

A non-linear forecast combination procedure for binary outcomes

Lahiri, Kajal; Yang, Liu - 2015

We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating...

Persistent link: https://www.econbiz.de/10010475341

Rising to the challenge : Bayesian estimation and forecasting techniques for macroeconomic agent-based models

Delli Gatti, Domenico; Grazzini, Jakob - 2019

We propose two novel methods to "bring ABMs to the data". First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...

Persistent link: https://www.econbiz.de/10012119860

Projecting the spread of COVID19 for Germany

Donsimoni, Jean Roch; Glawion, René; Plachter, Bodo; … - 2020

We model the evolution of the number of individuals that are reported to be sick with COVID-19 in Germany. Our theoretical framework builds on a continuous time Markov chain with four states: healthy without infection, sick, healthy after recovery or after infection but without symptoms and...

Persistent link: https://www.econbiz.de/10012194675

Should contact bans be lifted in Germany? : a quantitative prediction of Its effects

Donsimoni, Jean Roch; Glawion, René; Plachter, Bodo; … - 2020

Many countries consider the lifting of restrictions of social contacts (RSC). We quantify the effects of RSC for Germany. We initially employ a purely statistical approach to predicting prevalence of COVID19 if RSC were upheld after April 20. We employ these findings and feed them into our...

Persistent link: https://www.econbiz.de/10012206629

Linear identification of linear rational-expectations models by exogenous variables reconciles Lucas and Sims

Zadrozny, Peter A. - 2022

-expectations solution (RES) eqs. that determine endogenous variables. For given VAR eqs. that determine exogenous variables (XVAR), RES eqs …. reduce to reduced-form VAR eqs. with exogenous variables (ERF). Combined XVAR and ERF eqs. comprise reduced-form (RF) overall … VAR (OVAR) eqs. of all variables. The specified, solved, and combined eqs. define a mapping from deep parameters to OVAR …

Persistent link: https://www.econbiz.de/10014322086

Seven pitfalls of technical analysis

Caporale, Guglielmo Maria; Plastun, Alex - 2023

This paper examines the main drawbacks of technical analysis. Although this is widely used by practitioners, from an academic perspective it can only be seen as a form of "voodoo finance". In particular, it runs into the following pitfalls: Subjectivity; Doubtful assumptions; Unjustified...

Persistent link: https://www.econbiz.de/10013489574

Impact of fiscal policy on inequality and poverty in the Arab Republic of Egypt

Ibarra, Gabriel Lara; Sinha, Nistha; Fayez, Rana; … - 2019

This study assesses the redistributive impact of fiscal policy -- including expenditures and taxation -- in the Arab Republic of Egypt. Using a broadly applied methodology, a fiscal incidence analysis is conducted using survey and government data for fiscal year 2015. Evidence shows that...

Persistent link: https://www.econbiz.de/10012022288

From currency depreciation to trade reform : how to take Egyptian exports to new levels?

Youssef, Hoda; Zaki, Chahir - 2019

The Arab Republic of Egypt is yet to meet its exports potential, which has been historically hampered by several domestic market distortions and multiple barriers, resulting in weak export performance and modest regional and global integration. Although the liberalization of the exchange rate in...

Persistent link: https://www.econbiz.de/10012008374