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Testing for relative predictive accuracy: A critical viewpoint

Kunst, Robert M. - 2003

Tests for relative predictive accuracy have become a widespread addendum to forecast comparisons. Many empirical research reports conclude that the difference between the entertained forecasting models is 'insignificant'. This paper collects arguments that cast doubt on the usefulness of...

Persistent link: https://www.econbiz.de/10010292782

Forecasting euro exchange rates: How much does model averaging help?

Crespo Cuaresma, Jesus - 2007

We analyze the performance of Bayesian model averaged exchange rate forecasts for euro/US dollar, euro/Japanese yen, euro/Swiss franc and euro/British pound rates using weights based on the out-of-sample predictive likelihood. The paper also presents a simple stratified sampling procedure in the...

Persistent link: https://www.econbiz.de/10010293409

Modeling national accounts sub-aggregates: An application of non-linear error correction

Jumah, Adusei; Kunst, Robert M. - 2004

Many macroeconometric models depict situations where the shares of the major demand aggregates in output are stable … over time. The joint dynamic behavior of the considered demand aggregate and output may thus be approximated by a … cointegrated vector autoregression. However, the shares of many demand sub-aggregates in output are rather mobile and changing over …

Persistent link: https://www.econbiz.de/10010293724

Parameter instability and forecasting performance: A Monte Carlo study

Anyfantakis, Costas; Caporale, Guglielmo M.; Pittis, Nikitas - 2004

This paper uses Monte Carlo techniques to assess the loss in terms of forecast accuracy which is incurred when the true DGP exhibits parameter instability which is either overlooked or incorrectly modelled. We find that the loss is considerable when a FCM is estimated instead of the true TVCM,...

Persistent link: https://www.econbiz.de/10010293752

Spatial Chow-Lin models for completing growth rates in cross-sections

Polasek, Wolfgang - 2013

Growth rate data that are collected incompletely in cross-sections is a quite frequent problem. Chow and Lin (1971) have developed a method for predicting unobserved disaggregated time series and we propose an extension of the procedure for completing cross-sectional growth rates similar to the...

Persistent link: https://www.econbiz.de/10010293994

Mixtures of t-distributions for finance and forecasting

Giacomini, Raffaella; Gottschling, Andreas; Haefke, … - 2007

We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. A feature that makes this family particularly desirable for econometric applications is that it possesses closed-form expressions for its anti-derivatives (e.g., the...

Persistent link: https://www.econbiz.de/10010293996

Forecasting global flows

Skriner, Edith - 2007

The theory suggests that investment activities and monetary policy influence the development of the global business cycle. The oil price and other raw material prices also play a key role in the economic development and there is a co-movement among oil consumption and global output. Therefore,...

Persistent link: https://www.econbiz.de/10010294037

Evaluating FOMC forecast ranges: an interval data approach

Fischer, Henning; García-Bárzana, Marta; Tillmann, Peter - 2012

The Federal Open Market Committee (FOMC) of the U.S. Federal Reserve publishes the range of members' forecasts for key macroeconomic variables, but not the distribution of forecasts within this range. To evaluate these projections, previous papers compare the midpoint of the ranges with the...

Persistent link: https://www.econbiz.de/10010294451

Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany

Antzoulatos, Angelos A.; Wilfling, Bernd - 2003

Recent theoretical advances in consumption theory suggest that there may exist predictable consumption surges which, if not taken sufficiently into account in forecasting, may lead to predictable forecast errors. We use this insight to identify economic variables that might help improve the...

Persistent link: https://www.econbiz.de/10010295325

Prognoseleistung von Frühindikatoren: Die Bedeutung von Frühindikatoren für Konjunkturprognosen - Eine Analyse für Deutschland

Hinze, Jörg - 2003

Das Papier untersucht die Rolle von Frühindikatoren bei der Erstellung von Konjunkturprognosen. Gegenstand der Analyse sind die Fragen: Welche Kriterien sollten Frühindikatoren generell erfüllen bzw. was sollten Frühindikatoren leisten? Inwieweit erfüllen die gängigen Indikatoren diese...

Persistent link: https://www.econbiz.de/10010295369