Narrow search
Showing 1 - 10 of 5,088
Cover Image
Forecasting random walks under drift instability
Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008
Persistent link: https://www.econbiz.de/10003711763
Cover Image
Variable selection and forecasting in high dimensional linear regressions with structural breaks
Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020
This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...
Persistent link: https://www.econbiz.de/10012258549
Cover Image
Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017
This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...
Persistent link: https://www.econbiz.de/10011669019
Cover Image
How costly is it to ignore breaks when forecasting the direction of a time series?
Timmermann, Allan; Pesaran, M. Hashem - 2003
forecast and the realization and on the ability to forecast the sign or direction of a time-series that is subject to breaks … break are likely to perform better over unconditional approaches that use expanding or rolling estimation windows provided …
Persistent link: https://www.econbiz.de/10011506213
Cover Image
Forecasting time series subject to multiple structural breaks
Pettenuzzo, Davide; Pesaran, M. Hashem; Timmermann, Allan - 2004
Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking …
Persistent link: https://www.econbiz.de/10011450047
Cover Image
Forecast uncertainties in macroeconometric modelling : an application to the UK economy
Pesaran, M. Hashem - 2000
intervals. Probability forecasts relating to UK output growth and inflation, obtained using a small macroeconometric model, are … presented. We discuss in detail the probability that inflation will fall within the Bank of England's target range and that … insights on the interrelatedness of output growth and inflation outcomes at different horizons. …
Persistent link: https://www.econbiz.de/10009781626
Cover Image
A multivariate long-memory model with structural breaks
Caporale, Guglielmo Maria (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003496720
Cover Image
Deterministic versus stochastic seasonal fractional integration and structural breaks
Caporale, Guglielmo Maria (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003497650
Cover Image
Nominal and real wages in the UK, 1750 - 2015 : mean reversion, persistence and structural breaks
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022
exhibit a higher degree of persistence, which reflects relatively long lags between inflation and wage adjustments. Endogenous …
Persistent link: https://www.econbiz.de/10013417630
Cover Image
Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015
that the uncertainty of the average forecast can be expressed as the disagreement among the forecasters plus the volatility …We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the … the conceptually correct benchmark forecast uncertainty. …
Persistent link: https://www.econbiz.de/10011305389