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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

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

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

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

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

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

Commodity price changes and the predictability of economic policy uncertainty

Wang, Yudong; Zhang, Bing; Diao, Xundi; Wu, Chongfeng - In: Economics Letters 127 (2015) C, pp. 39-42

In this study, we forecast economic policy uncertainty (EPU) using input on 23 commodity price changes. We reveal the significant predictability of EPU using three forecast combinations. This indicates that commodity price changes can be taken as a leading indicator of EPU.

Persistent link: https://www.econbiz.de/10011189556

Log versus level in VAR forecasting: 42 million empirical answers—Expect the unexpected

Mayr, Johannes; Ulbricht, Dirk - In: Economics Letters 126 (2015) C, pp. 40-42

The use of log-transformed data has become standard in macroeconomic forecasting with VAR models. However, its appropriateness in the context of out-of-sample forecasts has not yet been exposed to a thorough empirical investigation. With the aim of filling this void, a broad sample of VAR models...

Persistent link: https://www.econbiz.de/10011189562