Showing 11 - 20 of 32,763
Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series....
Persistent link: https://www.econbiz.de/10010325722
This paper provides a review which focuses on forecasting using statistical/econometric methods designed for dealing with large data sets.
Persistent link: https://www.econbiz.de/10010284149
This paper revisits a number of data-rich prediction methods, like factor models, Bayesian ridge regression and forecast combinations, which are widely used in macroeconomic forecasting, and compares these with a lesser known alternative method: partial least squares regression. Under the...
Persistent link: https://www.econbiz.de/10010284202
We compare a number of data-rich prediction methods that are widely used in macroeconomic forecasting with a lesser known alternative: partial least squares (PLS) regression. In this method, linear, orthogonal combinations of a large number of predictor variables are constructed such that the...
Persistent link: https://www.econbiz.de/10010287052
This paper introduces the concept of sister models, and proposes a sister model based load forecast combination method to enhance the point forecasting accuracy. Using the data from the Global Energy Forecasting Competition 2014, we create a case study with 4 sister forecasts from 4 sister...
Persistent link: https://www.econbiz.de/10011161430
Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series....
Persistent link: https://www.econbiz.de/10011256933
We analyze the complete subset regression (CSR) approach of Elliott et al. (2013) in situations with many possible predictor variables. The CSR approach has the computational advantage that it can be applied even when the number of predictors exceeds the sample size. Theoretical results...
Persistent link: https://www.econbiz.de/10011264276
In this comprehensive empirical study we critically evaluate the use of forecast averaging in the context of electricity prices. We apply seven averaging and one selection scheme and perform a backtesting analysis on day-ahead electricity prices in three major European and US markets. Our...
Persistent link: https://www.econbiz.de/10011115909
Majority of the load forecasting literature has been on point forecasting, which provides the expected value for each step throughout the forecast horizon. In the smart grid era, the electricity demand is more active and less predictable than ever before. As a result, probabilistic load...
Persistent link: https://www.econbiz.de/10011212025
This study documents the SNB's ARIMA model based on disaggregated CPI data used to produce inflation forecasts over the short-term horizon, and evaluates its forecasting performance. Our findings suggest that the disaggregate ARIMA model for the Swiss CPI performed better than relevant...
Persistent link: https://www.econbiz.de/10010815201