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Combined Forecasts from Linear and Nonlinear Time Series Models

Terui, N.; van Dijk, Herman K. - 2000

Combined forecasts from a linear and a nonlinear model areinvestigated for timeseries with possibly nonlinear characteristics. The forecasts arecombined by aconstant coefficient regression method as well as a time varyingmethod. Thetime varying method allows for a locally (non)linear model....

Persistent link: https://www.econbiz.de/10010324396

Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility

Hol, Eugenie; Koopman, Siem Jan - 2000

In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts … implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation … stochastic shocks incorporated in the SVXmodels. The out-of-sample volatility forecasts are evaluated against dailysquared …

Persistent link: https://www.econbiz.de/10010324427

Predictive Performance of the Binary Logit Model in Unbalanced Samples

Cramer, J.S. - 1998

In a binary logit analysis with unequal sample frequencies of the twooutcomes the less frequent outcome always has lower estimatedprediction probabilities than the other one. This effect is unavoidable,and its extent varies inversely with the fit of the model, as given by anew measure that...

Persistent link: https://www.econbiz.de/10010324717

Why is it so difficult to beat the Random Walk Forecast of Exchange Rates?

Kilian, Lutz; Taylor, Mark P. - 2001

We propose a stylized exchange rate model based on diversity and weight ofopinion. Our model departs from standard assumptions in that we allow forheterogeneous agents. We show that such a model can explain both the observedvolatility and the persistence of real and nominal exchange rate...

Persistent link: https://www.econbiz.de/10010325028

Consistent Expectations Equilibria and Complex Dynamics in Renewable Resource Markets

Hommes, Cars H.; Rosser, J. Barkley - 2001

Price fluctuations under adaptive learning in renewable resourcemarkets such as fisheries are examined. Optimal fisherymanagement with logistic fish pOpUlation growth implies a backward-bending, discounted supply curve for bioeconomicequilibrium sustained yield. Higher discount rates bend...

Persistent link: https://www.econbiz.de/10010325073

Examining the Nelson-Siegel Class of Term Structure Models

Pooter, Michiel De - 2007

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the purpose of fitting and forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in-sample fit of the term structure. However, I show that the...

Persistent link: https://www.econbiz.de/10010325534

Forecasting Aggregate Productivity using Information from Firm-Level Data

Bartelsman, Eric J.; Wolf, Zoltan - 2009

This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...

Persistent link: https://www.econbiz.de/10010325710

Beating the Random Walk: a Performance Assessment of Long-term Interest Rate Forecasts

den Butter, Frank A.G.; Jansen, Pieter W. - 2008

This paper assesses the performance of a number of long-term interest rate forecast approaches, namely time series models, structural economic models, expert forecasts and combinations thereof. The predictive performance of these approaches is compared using out of sample forecast errors, where...

Persistent link: https://www.econbiz.de/10010325714

Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning

Christopeit, Norbert; Massmann, Michael - 2010

In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic approximation algorithms whose gain sequence is...

Persistent link: https://www.econbiz.de/10010325749

Visualizing the Invisible: Estimating the New Keynesian Output Gap via a Bayesian Approach

Willems, Tim - 2009

As both the natural level of output and the New Keynesian output gap cannot be observed in practice, there is quite some debate on the question how these variables look like in practice. Rather than taking the standard approach of using a time trend or the HP-filter to obtain estimates of these...

Persistent link: https://www.econbiz.de/10010325777