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Combination of forecasts across estimation windows : an application to air travel demand

Jungmittag, Andre - In: Journal of forecasting 35 (2016) 4, pp. 373-380

Persistent link: https://www.econbiz.de/10011580774

Variable selection and forecasting in high dimensional linear regressions with structural breaks

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

Persistent link: https://www.econbiz.de/10012258549

Estimating the economic effects of deregulation : evidence from the Turkish airline industry

Çetin, Tamer; Eryiğit, Kadir Y. - 2015

This paper mainly studies the effect of deregulation on prices and quantity. For this aim, we employ cointegration methodology with structural breaks to empirically investigate the simultaneous relationship between deregulation, ticket prices, and the number of passengers in the Turkish airline...

Persistent link: https://www.econbiz.de/10011389427

Estimating dynamic demand for airlines

Escobari, Diego - 2014

This paper uses an original panel dataset with posted prices and sales to estimate a dynamic demand. We find that … competition with random demand and costless search: A theory of price posting. Econometrica 80, 1185-1247] - high …

Persistent link: https://www.econbiz.de/10011402309

Estimating Dynamic Demand for Airlines

Escobari, Diego - 2016

Persistent link: https://www.econbiz.de/10013001154

Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...

Persistent link: https://www.econbiz.de/10011335205

Forecasting Random Walks under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012714199

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

Persistent link: https://www.econbiz.de/10012756639

Evaluating Real-Time Forecasts in Real-Time

Ravazzolo, Francesco - 2010

The accuracy of real-time forecasts of macroeconomic variables that are subject to revisions may crucially depend on the choice of data used to compare the forecasts against. We put forward a flexible time - varying parameter regression framework to obtain early estimates of the final value of...

Persistent link: https://www.econbiz.de/10012717174

Time Varying Parameters Bayesian Forecasting of Electricity Demand : The Italian Case

Grasso, Margherita - 2010

Electricity demand is modeled as a time-varying parameters (TVP) vector autoegression with or without imposing … correction model (VECM). Considering Italian data, the appropriate diagnostic tests and estimation results are in favour of non …

Persistent link: https://www.econbiz.de/10014193091

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