Similar Search Results

Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?

Timmermann, Allan; Elliott, Graham; Komunjer, Ivana - Econometric Society - 2004

Survey data on expectations frequently find evidence that forecasts are biased, rejecting the joint hypothesis of rational expectations and symmetric loss. While the literature has attempted to explain this bias through forecasters' strategic behavior, we propose a simpler explanation based on...

Persistent link: https://www.econbiz.de/10005702628

Forecasting time series subject to multiple structural breaks

Timmermann, Allan; Pettenuzzo, Davide; Pesaran, … - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

Persistent link: https://www.econbiz.de/10010276165

Forecasting Time Series Subject to Multiple Structural Breaks

Timmermann, Allan; Pettenuzzo, Davide; Pesaran, … - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

Persistent link: https://www.econbiz.de/10010276180

Disagreement and Biases in Inflation Expectations

Capistrán, Carlos; Timmermann, Allan - Banco de México - 2006

Recent empirical work documents substantial disagreement in inflation expectations obtained from survey data. Furthermore, the extent of such disagreement varies systematically over time in a way that reflects the level and variance of current inflation. This paper offers a simple explanation...

Persistent link: https://www.econbiz.de/10004974506

Forecasting With Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with … forecasting methods can perform better than forecasts based on individual estimates and demonstrate how gains in predictive … stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …

Persistent link: https://www.econbiz.de/10013266655

Forecasting Time Series Subject to Multiple Structural Breaks

Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan - Institute for the Study of Labor (IZA) - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

Persistent link: https://www.econbiz.de/10005763710

Forecast Combination with Entry and Exit of Experts

Capistrán, Carlos; Timmermann, Allan - Banco de México - 2006

Combination of forecasts from survey data is complicated by the frequent entry and exit in real time of individual forecasters which renders conventional least squares regression approaches to estimation of the combination weights infeasible. We explore the consequences of this for a variety of...

Persistent link: https://www.econbiz.de/10004989548

Forecasting time series subject to multiple structural breaks

Pettenuzzo, Davide; Pesaran, M. Hashem; Timmermann, Allan - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

Persistent link: https://www.econbiz.de/10011450047

Forecasting with panel data : estimation uncertainty versus parameter heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

Persistent link: https://www.econbiz.de/10013176894

Combining the forecasts in the ECB survey of professional forecasters

Genre, Véronique; Kenny, Geoff; Meyler, Aidan; … - 2010

In this paper, we explore the potential gains from alternative combinations of the surveyed forecasts in the ECB Survey of Professional Forecasters. Our analysis encompasses a variety of methods including statistical combinations based on principal components analysis and trimmed means,...

Persistent link: https://www.econbiz.de/10009640510