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turned out to be hard to predict, with forecasters across the world committing large forecast errors. We examine whether … knowledge of in-sample co-movement across countries could have been used in a more systematic way to improve forecast accuracy … improves forecasting accuracy in terms of both point and density forecast evaluation across a large panel of countries. In line …
Persistent link: https://www.econbiz.de/10013023284
forecast accuracy at the national level. In particular, we ask if a model with common international business cycle factors adds … business cycle factor improves forecast accuracy in terms of both point and density forecast evaluation across a large panel of …
Persistent link: https://www.econbiz.de/10012992557
forecasts improves the forecast accuracy, and in particular new models with power transformations of weather forecast variables …
Persistent link: https://www.econbiz.de/10011372511
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Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic … Statistics, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including …
Persistent link: https://www.econbiz.de/10013120348
This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially informative quarterly macroeconomic variables for the 33 largest economies,...
Persistent link: https://www.econbiz.de/10012844415
Persistent link: https://www.econbiz.de/10012872633
This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially informative quarterly macroeconomic variables for the 33 largest economies,...
Persistent link: https://www.econbiz.de/10012857769
Persistent link: https://www.econbiz.de/10012627837