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Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - 2013
Persistent link: https://www.econbiz.de/10011455896
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Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - 2014
Persistent link: https://www.econbiz.de/10011456434
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Mixed-frequency cointegrating regressions with parsimonious distributed lag structures
Miller, J. Isaac - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 584-614
Persistent link: https://www.econbiz.de/10010391945
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Are debt sustainability indicators based on time-series data useful for predicting crises?
Mersmann, Katharina; Westermann, Frank - In: FinanzArchiv : European journal of public finance 76 (2020) 2, pp. 146-164
Persistent link: https://www.econbiz.de/10012602323
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One-period joint forecasts of Polish inflation, unemployment and interest rate using Bayesian VEC-MSF models
Wróblewska, Justyna; Pajor, Anna - In: Central European journal of economic modelling and … 11 (2019) 1, pp. 23-45
Persistent link: https://www.econbiz.de/10012294550
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Investigating the use of statistical process control charts for index tracking portfolios
Sant'Anna, Leonardo Riegel; Filomena, Tiago Pascoal; … - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1622-1638
Persistent link: https://www.econbiz.de/10012214352
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Chapter 12 Forecasting with Breaks
Clements, Michael P.; Hendry, David F. - 2006
A structural break is viewed as a permanent change in the parameter vector of a model. Using taxonomies of all sources of forecast errors for both conditional mean and conditional variance processes, we consider the impacts of breaks and their relevance in forecasting models: (a) where the...
Persistent link: https://www.econbiz.de/10014023694
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Chapter 11 Forecasting with Trending Data
Elliott, Graham - 2006
really have unit roots in the data. This uncertainty is practical – for many macroeconomic and financial variables theory … models as well as examine the effects of erroneously assuming cointegration. It is shown that inconclusive theoretical … imposing cointegration can be more or less useful for different horizons. The problem of forecasting variables with trending …
Persistent link: https://www.econbiz.de/10014023695
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Chapter 6 Forecasting with VARMA Models
Lütkepohl, Helmut - 2006
Vector autoregressive moving-average (VARMA) processes are suitable models for producing linear forecasts of sets of time series variables. They provide parsimonious representations of linear data generation processes. The setup for these processes in the presence of stationary and cointegrated...
Persistent link: https://www.econbiz.de/10014023700
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Forecasting with VARMA models
Lütkepohl, Helmut - 2006
Persistent link: https://www.econbiz.de/10003338428