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Forecasting in a Changing World : from the Great Recession to the COVID-19 Pandemic

Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan; … - 2021

We develop a new targeted maximum likelihood estimation method that provides improved forecasting for misspecified …-validation procedure. In a set of Monte Carlo experiments we reveal that the estimation method can significantly improve the forecasting …

Persistent link: https://www.econbiz.de/10013250990

Package CovRegpy : Regularised Covariance Regression and Forecasting in Python

van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023

This paper will outline the functionality available in the CovRegpy package for actuarial practitioners, wealth managers, fund managers, and portfolio analysts written in Python 3.7. The major contributions of CovRegpy can be found in the CovRegpy_DCC.py, CovRegpy_IFF.py, CovRegpy_RCR.py,...

Persistent link: https://www.econbiz.de/10014253907

Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Models (with Application to Philippine Inflation and GDP Growth)

Mariano, Roberto S.; Ozmucur, Suleyman - 2020

-frequency dynamic latent factor models (DFM for short) and Mixed Data Sampling (MIDAS) Regression. DFM is parsimonious and dependent on …

Persistent link: https://www.econbiz.de/10014094788

Density and conditional distribution based specification analysis

Duong, Diep; Swanson, Norman R. - 2013

The technique of using densities and conditional distributions to carry out consistent specification testing and model selection amongst multiple diffusion processes have received considerable attention from both financial theoreticians and empirical econometricians over the last two decades....

Persistent link: https://www.econbiz.de/10009766693

An alternative Bayesian approach to structural breaks in time series models

Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

Persistent link: https://www.econbiz.de/10011383033

Detecting location shifts during model selection by step-indicator saturation

Castle, Jennifer; Doornik, Jurgen A.; Hendry, David F.; … - In: Econometrics : open access journal 3 (2015) 2, pp. 240-264

To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...

Persistent link: https://www.econbiz.de/10011297656

An Alternative Bayesian Approach to Structural Breaks in Time Series Models

van den Hauwe, Sjoerd - 2011

Persistent link: https://www.econbiz.de/10013130370

Outlier Detection in Structural Time Series Models : The Indicator Saturation Approach

Marczak, Martyna - 2014

Structural change affects the estimation of economic signals, like the underlying growth rate or the seasonally …

Persistent link: https://www.econbiz.de/10013049464

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

Corradi, Valentina; Swanson, Norman R. - 2011

; diffusion processes ; jumps ; nonparametric simulated quasi maximum likelihood ; parameter estimation error ; recursive … estimation ; stochastic volatility …

Persistent link: https://www.econbiz.de/10009130687

Predictive inference under model misspecification with an application to assessing the marginal predictive content of money for output

Armah, Nii Ayi; Swanson, Norman R. - 2011 - Rev.

uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with … particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error …). -- block bootstrap ; forecasting ; recursive estimation scheme ; rolling estimation scheme ; model misspecification ; nonlinear …

Persistent link: https://www.econbiz.de/10009130740