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Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors

Christopeit, Norbert; Massmann, Michael - 2012

Strong consistency of least squares estimators of the slope parameter in simple linear regression models is established for predetermined stochastic regressors. The main result covers a class of models which falls outside the applicability of what is presently available in the literature. An...

Persistent link: https://www.econbiz.de/10010326230

A Forty Year Assessment of Forecasting the Boat Race

Mesters, Geert; Koopman, Siem Jan - 2012

specifications. This model is able to correctly forecast 30 out of 40 outcomes of the Boat Race. …

Persistent link: https://www.econbiz.de/10010326259

Modelling and Simulation: An Overview

McAleer, Michael; Chan, Felix; Oxley, Les - 2013

judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector …

Persistent link: https://www.econbiz.de/10010326266

Regional Population-Employment Dynamics across Different Sectors of the Economy

de Graaff, Thomas; van Oort, Frank G.; Florax, Raymond … - 2011

An important subset of the literature on agglomeration externalities hypothesizes thatintrasectoral and intersectoral relations are endogenously determined in models of localand regional economic growth. Remarkably, structural adjustment models describing thespatio-temporal dynamics of...

Persistent link: https://www.econbiz.de/10010326283

GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies

Jimenez-Martin, Juan-Angel; McAleer, Michael; Amaral, … - 2013

In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. These extreme value models...

Persistent link: https://www.econbiz.de/10010326321

Do Experts incorporate Statistical Model Forecasts and should they?

Legerstee, Rianne; Franses, Philip Hans; Paap, Richard - 2011

model forecasts. First, is the expert forecast related to the model forecast and how? Second, how is this potential relation … influenced by other factors? Third, how does this relation influence forecast accuracy? We propose a new and innovative two … a variety of ways. Average sales levels, sales volatility, and the forecast horizon influence this dependence. We also …

Persistent link: https://www.econbiz.de/10010326324

Realized Volatility Risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013

In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10010326350

Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo

Zellner, Arnold (posthumously); Ando, Tomohiro; … - 2012

We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest under a flat prior and the potential of Direct Monte Carlo (DMC) approaches for efficient...

Persistent link: https://www.econbiz.de/10010326354

Do Experts' SKU Forecasts improve after Feedback?

Legerstee, Rianne; Franses, Philip Hans - 2011

program, and we report the forecast accuracy over these 12 months. In September 2007 these experts were given feedback on …

Persistent link: https://www.econbiz.de/10010326360

Forecasting Interest Rates with Shifting Endpoints

van Dijk, Dick; Koopman, Siem Jan; van der Wel, Michel; … - 2012

Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields as being stationary, without any shifting...

Persistent link: https://www.econbiz.de/10010326362