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Schwarz. In this paper I evaluate the predictive ability of the Akaike and Schwarz information criteria using autoregressive integrated moving average models, with sectoral data of Chilean GDP. In terms of root mean square error, and after the estimation of more than a million models, the...
Persistent link: https://www.econbiz.de/10009418476
There is no standard economic forecasting procedure that systematically outperforms the others at all horizons and with … forecasting purposes where the traditional ARMA specification is preferred. Accounting for the Easter effect improves the forecast …
Persistent link: https://www.econbiz.de/10009418499
from internet search queries performed on the search engine Google. The forecasting performance of the Google Inflation …, Survey of Professional Forecasters, and the Michigan Survey. While useful in developing models of forecasting inflation …
Persistent link: https://www.econbiz.de/10009647210
Michigan Surveys of Consumers. While these measures have been useful in developing models of forecasting inflation, the data …
Persistent link: https://www.econbiz.de/10009650037
This paper addresses the issue of improving the forecasting performance of vector autoregressions (VARs) when the set …
Persistent link: https://www.econbiz.de/10008592950
This paper develops methods for automatic selection of variables in forecasting Bayesian vector autoregressions (VARs … Carlo experiment, and in forecasting 4 macroeconomic series of the UK using time-varying parameters vector autoregressions … (TVP-VARs). Restricted models consistently improve upon their unrestricted counterparts in forecasting, showing the merits …
Persistent link: https://www.econbiz.de/10008593003
consumer spending is based on households’ expectations of their future income. However, in short-term forecasting, the … addition, consumer confidence seems to contain both a forecasting and independent explicative ability to predict consumption …
Persistent link: https://www.econbiz.de/10005787072
finance; for such tasks as pattern reorganization, and time series forecasting, have dramatically increased. Many central … banks use forecasting models based on ANN methodology for predicting various macroeconomic indicators, like inflation, GDP … ANN model with conventional univariate time series forecasting models such as AR(1) and ARIMA based models and observed …
Persistent link: https://www.econbiz.de/10005835473
The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single …
Persistent link: https://www.econbiz.de/10008541474
paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed …
Persistent link: https://www.econbiz.de/10005103392