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Equal Predictive Ability Tests Based on Panel Data with Applications to OECD and IMF Forecasts
Akgun, Oguzhan; Pirotte, Alain; Urga, Giovanni; Yang, … - 2023
We propose two types of equal predictive ability (EPA) tests with panels to compare the predictions made by two … over all panel units and over time. The second, called C-statistics, focuses on the clustered EPA hypothesis where the EPA … holds jointly for a fixed number of clusters of panel units. The asymptotic properties of the proposed tests are evaluated …
Persistent link: https://www.econbiz.de/10014261562
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Assessing Point Forecast Bias Across Multiple Time Series : Measures and Visual Tools
Davydenko, Andrey; Goodwin, Paul - 2021
Measuring bias is important as it helps identify flaws in quantitative forecasting methods or judgmental forecasts. It can, therefore, potentially help improve forecasts. Despite this, bias tends to be under represented in the literature: many studies focus solely on measuring accuracy. Methods...
Persistent link: https://www.econbiz.de/10013314570
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A Neural Network Extension of the Lee-Carter Model to Multiple Populations
Richman, Ronald - 2018
The Lee-Carter model is a basic approach to forecasting mortality rates of a single population. Although extensions of the Lee-Carter model to forecasting rates for multiple populations have recently been proposed, the structure of these extended models is hard to justify and the models are...
Persistent link: https://www.econbiz.de/10012909106
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A Collection on the Versatility and Predictive Power of Survey Expectations Data
Guzman, Giselle - 2014
This collection of papers analyzes the versatility and predictive power of survey expectations data in asset pricing and macroeconomic forecasting. The first paper, Using Sentiment Surveys to Predict GDP Growth and Stock Returns sheds new light on the question of whether or not sentiment...
Persistent link: https://www.econbiz.de/10013055949
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Mortality Forecasting Using Stacked Regression Ensembles
KESSY, Salvatory; Sherris, Michael; Villegas, Andrés; … - 2021
There are many alternative approaches to selecting mortality models and forecasting mortality. The standard practice is to produce forecasts using a single model such as the Lee-Carter, the Cairns-Blake-Dowd, or the Age- Period-Cohort model, with model selection based on in-sample goodness of...
Persistent link: https://www.econbiz.de/10013234413
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Forecasting with Panel Data
Baltagi, Badi H. - 2016
This paper gives a brief survey of forecasting with panel data. Starting with a simple error component regression and … applications, running horse races between heterogeneous and homogeneous panel data models using out of sample forecasts …
Persistent link: https://www.econbiz.de/10012991129
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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 …-sectional (N) and time (T) dimensions and varying degrees of parameter heterogeneity. We investigate conditions under which panel …
Persistent link: https://www.econbiz.de/10013176894
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Forecasting with Panel Data
Baltagi, Badi H. - 2011
This paper gives a brief survey of forecasting with panel data. Starting with a simple error component regression model … ARMA models as well as spatial auto-regressive models. The paper also surveys how these forecasts have been used in panel … data applications, running horse races between heterogeneous and homogeneous panel data models using out of sample …
Persistent link: https://www.econbiz.de/10014183176
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Carbon Price Forecasting : Which Driven Factors Can Help
Ren, Xiaohang - 2019
This paper proposes two dimension-reduction and forecasting quantile methods (i.e., the quantile group lasso and the quantile group SCAD models) to predict carbon futures returns and investigate the predictability of a comprehensive group of factors including market fundamental variables and...
Persistent link: https://www.econbiz.de/10012865894
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Forecasting cross-sections of frailty-correlated default
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2008
using dynamic factors from a large panel of selected macroeconomic and financial data as well as common unobserved risk …
Persistent link: https://www.econbiz.de/10011374412