Similar Search Results

Optimal forecasts in the presence of structural breaks

Pesaran, M. Hashem; Pick, Andreas; Pranovich, Mikhail - In: Journal of Econometrics 177 (2013) 2, pp. 134-152

This paper considers the problem of forecasting under continuous and discrete structural breaks and proposes weighting … only across regimes. In practice, where information on structural breaks is uncertain, a forecasting procedure based on … experiments and an empirical application to forecasting real GDP using the yield curve across nine industrial economies. …

Persistent link: https://www.econbiz.de/10010709433

Forecasting a long memory process subject to structural breaks

Wang, Cindy Shin-Huei; Bauwens, Luc; Hsiao, Cheng - In: Journal of Econometrics 177 (2013) 2, pp. 171-184

We develop an easy-to-implement method for forecasting a stationary autoregressive fractionally integrated moving … rates illustrates the usefulness of our forecasting procedure. The empirical success of the HAR-RV model can be explained …

Persistent link: https://www.econbiz.de/10010709439

Through the looking glass: Indirect inference via simple equilibria

Calvet, Laurent E.; Czellar, Veronika - In: Journal of Econometrics 185 (2015) 2, pp. 343-358

This paper develops an indirect inference (Gourieroux et al., 1993; Smith, 1993) estimation method for a large class of dynamic equilibria. Our approach consists of constructing econometrically tractable auxiliary equilibria, obtained by simplifying the economic primitives of the structural...

Persistent link: https://www.econbiz.de/10011190714

Summability of stochastic processes—A generalization of integration for non-linear processes

Berenguer-Rico, Vanessa; Gonzalo, Jesús - In: Journal of Econometrics 178 (2014) P2, pp. 331-341

The order of integration is valid to characterize linear processes; but it is not appropriate for non-linear worlds. We propose the concept of summability (a re-scaled partial sum of the process being Op(1)) to handle non-linearities. The paper shows that this new concept, S(δ): (i) generalizes...

Persistent link: https://www.econbiz.de/10011052232

Segmenting mean-nonstationary time series via trending regressions

Aue, Alexander; Horváth, Lajos; Hušková, Marie - In: Journal of Econometrics 168 (2012) 2, pp. 367-381

In this paper, we provide a segmentation procedure for mean-nonstationary time series. The segmentation is obtained by casting the problem into the framework of detecting structural breaks in trending regression models in which the regressors are generated by suitably smooth functions. As test...

Persistent link: https://www.econbiz.de/10011052332

Theory-coherent forecasting

Giacomini, Raffaella; Ragusa, Giuseppe - In: Journal of Econometrics 182 (2014) 1, pp. 145-155

We consider a method for producing multivariate density forecasts that satisfy moment restrictions implied by economic theory, such as Euler conditions. The method starts from a base forecast that might not satisfy the theoretical restrictions and forces it to satisfy the moment conditions using...

Persistent link: https://www.econbiz.de/10011052219

Conditional predictive density evaluation in the presence of instabilities

Rossi, Barbara; Sekhposyan, Tatevik - In: Journal of Econometrics 177 (2013) 2, pp. 199-212

We propose new methods for evaluating predictive densities. The methods include Kolmogorov–Smirnov and Cramér–von Mises-type tests for the correct specification of predictive densities robust to dynamic mis-specification. The novelty is that the tests can detect mis-specification in the...

Persistent link: https://www.econbiz.de/10011052231

Testing for structural stability of factor augmented forecasting models

Corradi, Valentina; Swanson, Norman R. - In: Journal of Econometrics 182 (2014) 1, pp. 100-118

structural stability of both factor loadings and factor augmented forecasting model regression coefficients. Our proposed test …

Persistent link: https://www.econbiz.de/10011052274

Adaptive dynamic Nelson–Siegel term structure model with applications

Chen, Ying; Niu, Linlin - In: Journal of Econometrics 180 (2014) 1, pp. 98-115

We propose an Adaptive Dynamic Nelson–Siegel (ADNS) model to adaptively detect parameter changes and forecast the yield curve. The model is simple yet flexible and can be safely applied to both stationary and nonstationary situations with different sources of parameter changes. For the 3- to...

Persistent link: https://www.econbiz.de/10010795336

Determining the MSE-optimal cross section to forecast

Arbués, Ignacio - In: Journal of Econometrics 175 (2013) 2, pp. 61-70

In this paper, we address the question of which subset of time series should be selected among a given set in order to forecast another series. We evaluate the quality of the forecasts in terms of Mean Squared Error. We propose a family of criteria to estimate the optimal subset. Consistency...

Persistent link: https://www.econbiz.de/10010666081

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