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Asymptotic variance of Brier (skill) score in the presence of serial correlation

Lahiri, Kajal; Yang, Liu - 2015

We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally … applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance … of taking care of serial correlation. We find that the conventional variances are too conservative to account for the …

Persistent link: https://www.econbiz.de/10010503468

Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...

Persistent link: https://www.econbiz.de/10003807908

The role of the log transformation in forecasting economic variables

Lütkepohl, Helmut; Fang, Xu - 2009

For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the...

Persistent link: https://www.econbiz.de/10003820020

Dynamic mixture vector autoregressions with score-driven weights

Gretener, Alexander Georges; Neuenkirch, Matthias; … - 2023

We propose a novel dynamic mixture vector autoregressive (VAR) model in which time-varying mixture weights are driven by the predictive likelihood score. Intuitively, the state weight of the k-th component VAR model in the subsequent period is increased if the current observation is more likely...

Persistent link: https://www.econbiz.de/10014251324

Weak and strong cross section dependence and estimation of large panels

Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa - 2009

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

Persistent link: https://www.econbiz.de/10003854425

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009488893

A multiple testing approach to the regularisation of large sample correlation matrices

Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2014

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...

Persistent link: https://www.econbiz.de/10010361374

Testing for common cyclical features in nonstationary panel data models

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2000

In this paper we extend the concept of serial correlation common features to panel data models. This analysis is … panel data with autocorrelation present and by an increase in efficiency coming from pooling procedures. We propose …

Persistent link: https://www.econbiz.de/10009781522

Exchange rates and sovereign risk : a nonlinear approach based on local Gaussian correlations

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2024

Crisis, the COVID-19 pandemic and the Ukrainian War. Using the most recent developments in local Gaussian partial correlation …

Persistent link: https://www.econbiz.de/10014505308

Forecasting nonlinear aggregates and aggregates with time-varying weights

Lütkepohl, Helmut - 2010

Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed, time-invariant aggregation weights. In this study a...

Persistent link: https://www.econbiz.de/10003966437

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