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Chapter 8 Forecasting economic variables with nonlinear models

Teräsvirta, Timo - 2006

building are parameter estimation and evaluation that are also briefly considered. There are two possibilities of generating …

Persistent link: https://www.econbiz.de/10014023698

Modeling autoregressive processes with moving-quantiles-implied nonlinearity

Ishida, Isao; Kvedaras, Virmantas - In: Econometrics : open access journal 3 (2015) 1, pp. 2-54

We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor's 500...

Persistent link: https://www.econbiz.de/10010478989

Forecasting in a changing world : from the great recession to the COVID-19 pandemic

Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan; … - 2021

We develop a new targeted maximum likelihood estimation method that provides improved forecasting for misspecified …-validation procedure. In a set of Monte Carlo experiments we reveal that the estimation method can significantly improve the forecasting …

Persistent link: https://www.econbiz.de/10012416341

A penalized two-pass regression to predict stock returns with time-varying risk premia

Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - 2021

We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no arbitrage restrictions by regularizing appropriate groups of coefficients. The second...

Persistent link: https://www.econbiz.de/10012487589

Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018

nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …

Persistent link: https://www.econbiz.de/10011775136

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

A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominance

Corradi, Valentina; Swanson, Norman R. - 2013

that allows for parameter estimation error in certain contexts, and White (2000) who develops testing methodology suitable …, both under vanishing and non-vanishing parameter estimation error, with focus on the construction of valid bootstrap … critical values in the case of non-vanishing parameter estimation error, under recursive estimation schemes, drawing on Corradi …

Persistent link: https://www.econbiz.de/10009766717

On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations

Rossen, Anja - 2011

over almost 400 time series which span from 1996:3 up to 2008:12 (production indices, price indices, unemployment rates …

Persistent link: https://www.econbiz.de/10009310287

On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations

Rossen, Anja - 2014

Although many macroeconomic time series are assumed to follow nonlinear processes, nonlinear models often do not provide better predictions than their linear counterparts. Furthermore, such models easily become very complex and difficult to estimate. The aim of this study is to investigate...

Persistent link: https://www.econbiz.de/10010434848

Variable Selection, Estimation and Inference for Multi-Period Forecasting Problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2011

correlation in the residuals of the multi-period direct forecasting models we propose a new SURE-based estimation method and …

Persistent link: https://www.econbiz.de/10014042344