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Author : Carlos Capistran Carmona
Publisher :
ISBN 13 :
Total Pages : 414 pages
Book Rating : 4.:/5 (318 download)
Download or read book Essays on Forecast Evaluation Under General Loss Functions written by Carlos Capistran Carmona and published by . This book was released on 2005 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Raffaella Giacomini
Publisher :
ISBN 13 :
Total Pages : 296 pages
Book Rating : 4.:/5 (318 download)
Download or read book Essays in Forecast Evaluation written by Raffaella Giacomini and published by . This book was released on 2003 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Graham Elliott
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (248 download)
Download or read book Optimal Forecast Combinations Under General Loss Functions and Forecast Error Distributions written by Graham Elliott and published by . This book was released on 2002 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew J. Patton
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)
Download or read book Testable Implications of Forecast Optimality written by Andrew J. Patton and published by . This book was released on 2008 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evaluation of forecast optimality in economics and finance has almost exclusively been conducted on the assumption of mean squared error loss under which forecasts should be unbiased and forecast errors serially uncorrelated at the single period horizon with increasing variance as the forecast horizon grows. This paper considers properties of optimal forecasts under general loss functions and establishes new testable implications of forecast optimality. These hold when the forecaster's loss function is unknown but testable restrictions can be imposed on the data generating process, trading off conditions on the data generating process against conditions on the loss function. Finally, we propose flexible parametric estimation of the forecaster's loss function, and obtain a test of forecast optimality via a test of over-identifying restrictions.
Author : Clive W. J. Granger
Publisher : Cambridge University Press
ISBN 13 : 9780521796491
Total Pages : 400 pages
Book Rating : 4.7/5 (964 download)
Download or read book Essays in Econometrics written by Clive W. J. Granger and published by Cambridge University Press. This book was released on 2001-07-23 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: These are econometrician Clive W. J. Granger's major essays in causality, integration, cointegration, and long memory.
Author : Andrew J. Patton
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (643 download)
Download or read book Testable Implications of Forecast Optimality written by Andrew J. Patton and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sainan Jin
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (13 download)
Download or read book Robust Forecast Comparison written by Sainan Jin and published by . This book was released on 2016 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecast accuracy is typically measured in terms of a given loss function. However, as a consequence of the use of misspecified models in multiple model comparisons, relative forecast rankings are loss function dependent. This paper addresses this issue by using a novel criterion for forecast evaluation which is based on the entire distribution of forecast errors. We introduce the concepts of general-loss (GL) forecast superiority and convex-loss (CL) forecast superiority; and develop tests for GL (CL) superiority that are based on an out-of-sample generalization of the tests introduced by Linton, Maasoumi and Whang (2005). The asymptotic null distributions of our test statistics are nonstandard, and resampling procedures are used to obtain critical values. Additionally, the tests are consistent and have nontrivial local power under a sequence of local alternatives. In addition to the stationary case, we outline theory extending our tests to the case of heterogeneity induced by distributional change over time. Monte Carlo simulations suggest that the tests perform reasonably well in finite samples; and an application to exchange rate data indicates that our tests can help identify superior forecasting models, regardless of loss function.
Author : Mark Watson
Publisher : Oxford University Press
ISBN 13 : 0199549494
Total Pages : 432 pages
Book Rating : 4.1/5 (995 download)
Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Author : Francis X. Diebold
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (321 download)
Download or read book Forecast Evaluation and Combination written by Francis X. Diebold and published by . This book was released on 1996 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is obvious that forecasts are of great importance and widely used in economics and finance. Quite simply, good forecasts lead to good decisions. The importance of forecast evaluation and combination techniques follows immediately -- forecast users naturally have a keen interest in monitoring and improving forecast performance. More generally, forecast evaluation figures prominently in many questions in empirical economics and finance. We provide selective account of forecast evaluation and combination methods. First we discuss evaluation of a single forecast, and in particular, evaluation of whether and how it may be improved. Second, we discuss the evaluation and comparison of the accuracy of competing forecasts. Third, we discuss whether and how a set of forecasts may be combined to produce a superior composite forecast. Fourth, we describe a number of forecast evaluation topics of particular relevance in economics and finance, including methods for evaluating direction-of-change forecasts, probability forecasts and volatility forecasts.
Author :
Publisher :
ISBN 13 :
Total Pages : 304 pages
Book Rating : 4.:/5 (318 download)
Download or read book Journal of Economic Literature written by and published by . This book was released on 2005-12 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ivana Komunjer
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (2 download)
Download or read book Multivariate Forecast Evaluation and Rationality Testing written by Ivana Komunjer and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "In this paper, we propose a new family of multivariate loss functions that can be used to test the rationality of vector forecasts without assuming independence across individual variables. When only one variable is of interest, the loss function reduces to the flexible asymmetric family recently proposed by Elliott, Komunjer, and Timmermann (2005). Following their methodology, we derive a GMM test for multivariate forecast rationality that allows the forecast errors to be dependent, and takes into account forecast estimation uncertainty. We use our test to study the rationality of macroeconomic vector forecasts in the growth rate in nominal output, the CPI inflation rate, and a short-term interest rate"--Federal Reserve Bank of St. Louis web site.
Author : Niels Haldrup
Publisher : OUP Oxford
ISBN 13 : 0191669547
Total Pages : 393 pages
Book Rating : 4.1/5 (916 download)
Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by OUP Oxford. This book was released on 2014-06-26 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Author : Qing Tian
Publisher :
ISBN 13 :
Total Pages : 234 pages
Book Rating : 4.:/5 (845 download)
Download or read book Essays on Econometric Forecasting written by Qing Tian and published by . This book was released on 2010 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes towards the improvement of model-based econometric forecast performance under realistic forecast environments, such as when information about in-sample structural breaks is unknown or when the forecast users' loss function is not based on squared-errors.
Author : Guoshi Tong
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Essays on Forecast Evaluation and Model Estimation in Financial Markets written by Guoshi Tong and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xiaohong Chen
Publisher : Springer Science & Business Media
ISBN 13 : 1461416531
Total Pages : 582 pages
Book Rating : 4.4/5 (614 download)
Download or read book Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis written by Xiaohong Chen and published by Springer Science & Business Media. This book was released on 2012-08-01 with total page 582 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the “empirical toolbox” that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to “build” the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners.
Author : Joel S. Demski
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.F/5 ( download)
Download or read book Forecast evaluation written by Joel S. Demski and published by . This book was released on 1971 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yongil Jeon
Publisher :
ISBN 13 :
Total Pages : 320 pages
Book Rating : 4.:/5 (318 download)
Download or read book Four Essays on Forecasting Evaluation and Econometric Estimation written by Yongil Jeon and published by . This book was released on 1999 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt:
