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Causal relations between inflation and inflation uncertainty—Cross sectional evidence in favour of the Friedman–Ball hypothesis
Hartmann, Matthias; Herwartz, Helmut - In: Economics Letters 115 (2012) 2, pp. 144-147
We test for causality between inflation and its associated uncertainty by means of both in-sample and out-of-sample modelling. Our findings indicate that the impact of inflation on inflation uncertainty is more pronounced than the reverse causal effect.
Persistent link: https://www.econbiz.de/10011041822
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Performance of periodic time series models in forecasting
Herwartz, Helmut - In: Empirical Economics 24 (1999) 2, pp. 271-301
performance of competing models in forecasting is used to assess the adequacy of a specific model. To account for nonstationarity … considerably but in most cases under study this model class involves a loss in ex-ante forecasting relative to nonperiodic models … and Swedish data forecasting exercises yield a unique recommendation of unit roots in consumption and income data which is …
Persistent link: https://www.econbiz.de/10005612971
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On economic evaluation of directional forecasts
Blaskowitz, Oliver J.; Herwartz, Helmut - 2009
It is commonly accepted that information is helpful if it can be exploited to improve a decision making process. In economics, decisions are often based on forecasts of up- or downward movements of the variable of interest. We point out that directional forecasts can provide a useful framework...
Persistent link: https://www.econbiz.de/10010271901
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On economic evaluation of directional forecasts
Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
It is commonly accepted that information is helpful if it can be exploited to improve a decision mak- ing process. In economics, decisions are often based on forecasts of up{ or downward movements of the variable of interest. We point out that directional forecasts can provide a useful framework...
Persistent link: https://www.econbiz.de/10008577793
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On economic evaluation of directional forecasts
Blaskowitz, Oliver; Herwartz, Helmut - 2009
It is commonly accepted that information is helpful if it can be exploited to improve a decision making process. In economics, decisions are often based on forecasts of up- or downward movements of the variable of interest. We point out that directional forecasts can provide a useful framework...
Persistent link: https://www.econbiz.de/10003893151
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Forecast accuracy and uncertainty in applied econometrics: a recommendation of specific-to-general predictor selection
Herwartz, Helmut - In: Empirical Economics 41 (2011) 2, pp. 487-510
Persistent link: https://www.econbiz.de/10009324843
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Specific-to-general predictor selection in approximate autoregressions—Monte Carlo evidence and a large scale performance assessment with real data
Herwartz, Helmut - In: AStA Advances in Statistical Analysis 95 (2011) 2, pp. 147-168
Persistent link: https://www.econbiz.de/10009149512
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On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven
Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2003
as semiparametric time series models are evaluated in terms of fitting and ex ante forecasting. The overall impact of …
Persistent link: https://www.econbiz.de/10010956374
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Forecasting sectoral trade growth under flexible exchange rates
Herwartz, Helmut; Weber, Henning - Sonderforschungsbereich 373, Quantifikation und … - 2003
-ante forecasting. In this paper we analyze the impact of exchange rate uncertainty on specific categories of exports and imports for 13 …. Parametric threshold models are found to outperform linear regression models in terms of fitting and ex-ante forecasting. In …
Persistent link: https://www.econbiz.de/10010956566
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Exchange rate uncertainty and trade growth: a comparison of linear and nonlinear (forecasting) models
Herwartz, Helmut; Weber, Henning - 2007
addition, widely used regression models have not been evaluated in terms of ex-ante forecasting. In this paper we analyze the … particularly provide a comparison of linear and nonlinear models with respect to ex-ante forecasting. In terms of average ranks of …
Persistent link: https://www.econbiz.de/10010263693