Similar Search Results

Mixed frequency models with MA components

Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2018

Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility...

Persistent link: https://www.econbiz.de/10011792277

Assessing the uncertainty in central banks' inflation outlooks

Knüppel, Malte; Schultefrankenfeld, Guido - 2019

Recent research has found that macroeconomic survey forecasts of uncertainty exhibit several deficiencies, such as horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation uncertainty forecasts from the Bank of England, the Banco...

Persistent link: https://www.econbiz.de/10011962843

The predictability of excess returns on UK bonds : a non-linear approach

Lekkos, Ilias; Milas, Costas - 2001

Persistent link: https://www.econbiz.de/10001664563

How much are exchange rate forecasts worth?

Manzur, Meher - 1987

Persistent link: https://www.econbiz.de/10003528130

Heterogeneous expectations among professional forecasters

Conrad, Christian; Lahiri, Kajal - 2023

Macroeconomic expectations of various economic agents are characterized by substantial cross-sectional heterogeneity. In this paper, we focus on expectations heterogeneity among professional forecasters. We first present stylized facts and discuss theoretical explanations for heterogeneous...

Persistent link: https://www.econbiz.de/10014472058

Estimation of linear and non-linear indicators using interval censored income data

Walter, Paul; Groß, Markus; Schmid, Timo; Tzavidis, Nikos - 2017

Among a variety of small area estimation methods, one popular approach for the estimation of linear and non-linear indicators is the empirical best predictor. However, parameter estimation using standard maximum likelihood methods is not possible, when the dependent variable of the underlying...

Persistent link: https://www.econbiz.de/10011703587

Prediction of corporate credit ratings with machine learning : simple interpretative models

Galil, Koresh; Hauptman, Ami; Rosenboim, Rosit Levy - 2023

Persistent link: https://www.econbiz.de/10014634152

Improving profitability forecasts with information on earnings quality

Demmer, Matthias - 2015

Prior literature documents the usefulness of the DuPont disaggregation for predicting firms future profitability, operating income, and stock market returns. In addition, research also emphasizes the importance of earnings quality information. However, there is a lack of research examining how...

Persistent link: https://www.econbiz.de/10010520353

Forecast-error-based estimation of forecast uncertainty when the horizon is increased

Knüppel, Malte - 2014

Recently, several institutions have increased their forecast horizons, and many institutions rely on their past … forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be … accomplished if there are only very few errors available for the new forecast horizons. It extends upon the results of Knüppel …

Persistent link: https://www.econbiz.de/10010465566

How far can we forecast? : statistical tests of the predictive content

Breitung, Jörg; Knüppel, Malte - 2018

Forecasts are useless whenever the forecast error variance fails to be smaller than the unconditional variance of the … forecast horizon h. Following Diebold and Mariano (DM, 1995) we propose a test based on the comparison of the mean …-squared error of the forecast and the sample variance. We show that the resulting test does not possess a limiting normal …

Persistent link: https://www.econbiz.de/10011826055

1
2
3
4
5
6
7
8
9
10
Next
Last