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Measurement error in earnings data: replication of Meijer, Rohwedder, and Wansbeek’s mixture model approach to combining survey and register data

Jenkins, Stephen; Rios-Avila, Fernando - 2021

Meijer, Rohwedder, and Wansbeek (MRW, Journal of Business & Economic Statistics, 2012) develop methods for prediction of a single earnings figure per worker from mixture factor models fitted using earnings data from multiple linked data sources. MRW apply their method using parameter estimates...

Persistent link: https://www.econbiz.de/10012485862

Efficient estimation of forecast uncertainty based on recent forecast errors

Knüppel, Malte - 2009

Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the...

Persistent link: https://www.econbiz.de/10003882901

Contour Map of Estimation Error for Expected Shortfall

Kondor, Imre - 2015

The contour map of estimation error of Expected Shortfall (ES) is constructed. It allows one to quantitatively determine the sample size (the length of the time series) required by the optimization under ES of large institutional portfolios for a given size of the portfolio, at a given...

Persistent link: https://www.econbiz.de/10013027781

Efficient Estimation of Forecast Uncertainty Based on Recent Forecast Errors

Knüppel, Malte - 2016

Persistent link: https://www.econbiz.de/10012991108

Optimal Forecast Combinations Under General Loss Functions and Forecast Error Distributions

Elliott, Graham; Timmermann, Allan - 2002

Existing results on the properties and performance of forecast combinations have been derived in the context of mean squared error loss. Under this loss function empirical studies have generally found that estimates of optimal forecast combination weights lead to higher losses than...

Persistent link: https://www.econbiz.de/10014113648

Internet Search Behavior as an Economic Forecasting Tool : The Case of Inflation Expectations

Guzman, Giselle - 2012

This paper proposes a measure of real-time inflation expectations based on metadata, i.e., data about data, constructed from internet search queries performed on the search engine Google. The forecasting performance of the Google Inflation Search Index (GISI) is assessed relative to 37 other...

Persistent link: https://www.econbiz.de/10014172981

Using Sentiment Surveys to Predict GDP Growth and Stock Returns

Guzman, Giselle - 2012

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10013110732

Predictable Life-Cycle Shocks, Income Risk and Consumption Inequality

Primiceri, Giorgio E. - 2006

transitory shocks? The implications for consumption and welfare depend crucially on the answer to this question. We use CEX … repeated cross-section data on consumption and income to decompose idiosyncratic changes in income into predictable life … evolution of consumption and income inequality well and delivers two main results. First, we find that permanent changes in …

Persistent link: https://www.econbiz.de/10012733915

A monthly consumption indicator for Germany based on internet search query data

Schmidt, Torsten; Vosen, Simeon - 2012

This study introduces a monthly coincident indicator for consumption in Germany based on Google Trends data on web … consumption. Unlike those indicators, it provides predictive information beyond that already captured in other macroeconomic …

Persistent link: https://www.econbiz.de/10011488565

Classification of potential electric vehicle purchasers : a machine learning approach

Bas, Javier; Cirillo, Cinzia; Cherchi, Elisabetta - In: Technological forecasting & social change : an … 168 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012802145

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