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Toward a theory of evaluating predictive accuracy
Kunst, Robert M.; Jumah, Adusei - 2004
We suggest a theoretical basis for the comparative evaluation of forecasts. Instead of the general assumption that the data is generated from a stochastic model, we classify three stages of prediction experiments: pure non-stochastic prediction of given data, stochastic prediction of given data,...
Persistent link: https://www.econbiz.de/10010293709
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Google-haut Suomen asuntojen hintojen ennustajana
Widgrén, Joona - 2016
This report examines whether Google search queries can be used to predict the present and the near future house prices in Finland. Compared to a simple benchmark model, Google searches improve the prediction of the present house price index by 7.5 % measured by mean absolute error. In addition,...
Persistent link: https://www.econbiz.de/10012037683
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Combining forecasts based on multiple encompassing tests in a macroeconomic core system
Costantini, Mauro; Kunst, Robert M. - 2009
We investigate whether and to what extent multiple encompassing tests may help determine weights for forecast averaging in a standard vector autoregressive setting. To this end we consider a new test-based procedure, which assigns non-zero weights to candidate models that add information not...
Persistent link: https://www.econbiz.de/10010294025
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Covid-19 outbreak and beyond : the information content of registered short-time workers for GDP now- and forecasting
Kaufmann, Sylvia - 2020
The number of employees historically filed and registered from January to April 2020 for short-time compensation is used to obtain a nowcast for GDP growth in the first quarter and an outlook until the third quarter 2021. We purge the monthly log level series from the systematic component to...
Persistent link: https://www.econbiz.de/10012224722
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The D-model for GDP nowcasting
Degiannakis, Stavros - In: Swiss journal of economics and statistics 159 (2023) 1, pp. 1-33
The paper provides a disaggregated mixed-frequency framework for the estimation of GDP. The GDP is disaggregated into components that can be forecasted based on information available at higher sampling frequency, i.e., monthly, weekly, or daily. The model framework is applied for Greek GDP...
Persistent link: https://www.econbiz.de/10014506547
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COVID-19 outbreak and beyond : the information content of registered short-time workers for GDP now- and forecasting
Kaufmann, Sylvia - In: Swiss journal of economics and statistics 156 (2020) 1/12, pp. 1-12
The number of short-time workers from January to April 2020 is used to now- and forecast quarterly GDP growth. We purge the monthly log level series from the systematic component to extract unexpected changes or shocks to log short-time workers. These monthly shocks are included in a univariate...
Persistent link: https://www.econbiz.de/10012392543
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Factor models for non-stationary series : estimates of monthly U.S. GDP
Hengge, Martina; Leonard, Seton - 2017
This paper presents a novel dynamic factor model for non-stationary data. We begin by constructing a simple dynamic stochastic general equilibrium growth model and show that we can represent and estimate the model using a simple linear-Gaussian (Kalman) filter. Crucially, consistent estimation...
Persistent link: https://www.econbiz.de/10011669132
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Forecasting industrial production using its aggregated and disaggregated series or a combination of both : evidence from one emerging market economy
Prince, Diogo de; Marçal, Emerson Fernandes; Pereira, … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-34
improves the forecasting of the aggregated series compared to using the aggregated series alone. We used econometric techniques …-horizon Superior Predictive Ability (uSPA) tests, used to select the best forecasting model by combining different horizons. Our sample … forecasting horizons that are more than one month ahead using the mean square error, and the aggregated ETS has better forecasting …
Persistent link: https://www.econbiz.de/10013355068
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Are Forecast Updates Progressive?
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2013
Many macroeconomic forecasts and forecast updates like those from IMF and OECD typically involve both a model component, which is replicable, as well as intuition, which is non-replicable. Intuition is expert knowledge possessed by a forecaster. If forecast updates are progressive, forecast...
Persistent link: https://www.econbiz.de/10010326444
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Toward a theory of evaluating predictive accuracy
Kunst, Robert M.; Jumah, Adusei - 2004
using an empirical example of UK investment data. -- forecasting ; time series ; investment …
Persistent link: https://www.econbiz.de/10009728977