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Testing the functional constraints on parameters in regressions with variables of different frequency

Kvedaras, Virmantas; Zemlys, Vaidotas - In: Economics Letters 116 (2012) 2, pp. 250-254

We propose a test for the evaluation of statistical acceptability of a functional constraint which is imposed on parameters in the mixed data sampling regressions. The asymptotic behavior of the test statistic is characterized and a few other extensions are discussed.

Persistent link: https://www.econbiz.de/10010597199

Stationarity of econometric learning with bounded memory and a predicted state variable

Damjanovic, Tatiana; Girdėnas, Šarūnas; Liu, Keqing - In: Economics Letters 130 (2015) C, pp. 93-96

In this paper, we consider a model where producers set their prices based on their prediction of the aggregated price level and an exogenous variable, which can be a demand or a cost-push shock. To form their expectations, they use OLS-type econometric learning with bounded memory. We show that...

Persistent link: https://www.econbiz.de/10011263417

Generalized adaptive expectations revisited

Sorge, Marco M. - In: Economics Letters 120 (2013) 2, pp. 203-205

This paper revisits the generalized adaptive expectations (GAE) mechanism presented by Shepherd (2012) [When are adaptive expectations rational? A generalization, Economics Letters, 115, 4–6]. It provides the precise conditions under which GAE hold, and also discusses its implications for the...

Persistent link: https://www.econbiz.de/10010678808

When are adaptive expectations rational? A generalization

Shepherd, Ben - In: Economics Letters 115 (2012) 1, pp. 4-6

This note presents a simple generalization of the adaptive expectations mechanism in which the learning parameter is time variant. Expectations generated in this way minimize mean squared forecast errors for any linear state space model.

Persistent link: https://www.econbiz.de/10010572253

Has US inflation really become harder to forecast?

Lanne, Markku; Luoto, Jani - In: Economics Letters 115 (2012) 3, pp. 383-386

Since the mid-1980s, Phillips curve forecasts of US inflation have been inferior to those of a conventional causal autoregression. However, little change in forecast accuracy is detected against the benchmark of a noncausal autoregression, more accurately characterizing US inflation dynamics.

Persistent link: https://www.econbiz.de/10010572258

MIDAS volatility forecast performance under market stress: Evidence from emerging stock markets

Emre Alper, C.; Fendoglu, Salih; Saltoglu, Burak - In: Economics Letters 117 (2012) 2, pp. 528-532

This paper evaluates weekly out-of-sample volatility forecast performance of univariate Mixed Data Sampling (MIDAS …) model compared to the benchmark model of GARCH(1,1) for ten emerging stock markets. The results show that the MIDAS model … by West (2006). For the tranquil period, however, the MIDAS model cannot produce a statistically better weekly volatility …

Persistent link: https://www.econbiz.de/10010580509

Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points

Wang, Shin-Huei; Vasilakis, Chrysovalantis - In: Economics Letters 118 (2013) 2, pp. 389-392

This paper considers the theoretical justifications of Lütkpohl’s (1988) test statistics when the data-generating process is relaxed to be a stationary ARFIMA process. Under suitable regularity conditions, we prove the applicability of Lütkpohl’s (1988) method to the stationary ARFIMA (p,...

Persistent link: https://www.econbiz.de/10011041841

Assessing point forecast accuracy by stochastic loss distance

Diebold, Francis X.; Shin, Minchul - In: Economics Letters 130 (2015) C, pp. 37-38

We explore the evaluation (ranking) of point forecasts by a “stochastic loss distance” (SLD) criterion, under which we prefer forecasts with loss distributions F(L(e)) “close” to the unit step function at 0. We show that, surprisingly, ranking by SLD corresponds to ranking by expected loss.

Persistent link: https://www.econbiz.de/10011263440

A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors

Atak, Alev; Kapetanios, George - In: Economics Letters 120 (2013) 2, pp. 224-228

There is a growing literature on the realized volatility (RV) forecasting of asset returns using high-frequency data. We explore the possibility of forecasting RV with factor analysis; once considering the significant jumps. A real high-frequency financial data application suggests that the...

Persistent link: https://www.econbiz.de/10010678826

The Great Recession and the inflation puzzle

Matheson, Troy; Stavrev, Emil - In: Economics Letters 120 (2013) 3, pp. 468-472

Notwithstanding high unemployment following the Great Recession, inflation in the United States has been remarkably stable. We find that a traditional Phillips curve describes the behavior of inflation reasonably well since the 1960s. Using a non-linear Kalman filter that allows for time-varying...

Persistent link: https://www.econbiz.de/10010681759

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