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Estimation methods for non-homogeneous regression models : minimum continuous ranked probability score vs. maximum likelihood

Gebetsberger, Manuel; Messner, Jakob W.; Mayr, Georg. J.; … - 2017

calibrated forecasts compared to maximum likelihood estimation. From a theoretical perspective, both estimators are consistent …

Persistent link: https://www.econbiz.de/10011762435

Conditional density forecasting : a tempered importance sampling approach

Montes-Galdón, Carlos; Paredes, Joan; Wolf, Elias - 2022

This paper proposes a new and robust methodology to obtain conditional density forecasts, based on information not contained in an initial econometric model. The methodology allows to condition on expected marginal densities for a selection of variables in the model, rather than just on future...

Persistent link: https://www.econbiz.de/10013463266

Memoirs of an indifferent trader : estimating forecast distributions from prediction markets

Berg, Joyce E.; Geweke, John; Rietz, Thomas A. - In: Quantitative economics : QE ; journal of the … 1 (2010) 1, pp. 163-186

Prediction markets for future events are increasingly common and they often trade several contracts for the same event. This paper considers the distribution of a normative risk-neutral trader who, given any portfolio of contracts traded on the event, would choose not to reallocate that...

Persistent link: https://www.econbiz.de/10011719089

Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models

Warne, Anders; Coenen, Günter; Christoffel, Kai - 2014

The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...

Persistent link: https://www.econbiz.de/10010412361

Bayesian bandwidth selection for a nonparametric regression model with mixed types of regressors

Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - In: Econometrics : open access journal 4 (2016) 2, pp. 1-27

This paper develops a sampling algorithm for bandwidth estimation in a nonparametric regression model with continuous … estimates than cross-validation, particularly for smaller sample sizes. This bandwidth estimation approach is applied to … nonparametric regression model of the Australian All Ordinaries returns and the kernel density estimation of gross domestic product …

Persistent link: https://www.econbiz.de/10011506243

Static and dynamic models for multivariate distribution forecasts : proper scoring rule tests of factor-quantile versus multivariate GARCH models

Alexander, Carol; Han, Yang; Meng, Xiaochun - In: International journal of forecasting 39 (2023) 3, pp. 1078-1096

Persistent link: https://www.econbiz.de/10014465245

Skewed logistic distribution for statistical temperature post-processing in mountainous areas

Gebetsberger, Manuel; Stauffer, Reto; Mayr, Georg. J.; … - 2018

able to account for site-specific local features leading to strongly skewed residuals. This residual skewness remains even … model is proposed to overcome this problem by assuming a skewed response distribution to account for possible skewness. This …

Persistent link: https://www.econbiz.de/10011847486

Forecast combination and Bayesian model averaging : a prior sensitivity analysis

Feldkircher, Martin - 2010

In this study we evaluate the forecast performance of model averaged forecasts based on the predictive likelihood carrying out a prior sensitivity analysis regarding Zellner’s g prior. The main results are fourfold: First the predictive likelihood does always better than the traditionally...

Persistent link: https://www.econbiz.de/10009731778

Density Forecasts in Panel Models : A Semiparametric Bayesian Perspective

Liu, Laura - 2017

simulation-based posterior sampling algorithm specifically addressing the nonparametric density estimation of unobserved …

Persistent link: https://www.econbiz.de/10012956589

Time-varying combinations of Bayesian dynamic models and equity momentum strategies

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of …

Persistent link: https://www.econbiz.de/10011563065