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Finite Sample Properties Of Tests For Forecast Equivalence
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Book Synopsis Regression-based Tests of Predictive Ability by : Kenneth David West
Download or read book Regression-based Tests of Predictive Ability written by Kenneth David West and published by . This book was released on 1997 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop regression-based tests of hypotheses about out of sample prediction errors. Representative tests include ones for zero mean and zero correlation between a prediction error and a vector of predictors. The relevant environments are ones in which predictions depend on estimated parameters. We show that standard regression statistics generally fail to account for error introduced by estimation of these parameters. We propose computationally convenient test statistics that properly account for such error. Simulations indicate that the procedures can work well in samples of size typically available, although there sometimes are substantial size distortions.
Book Synopsis Essays on Out of Sample Inference by : Michael W. McCracken
Download or read book Essays on Out of Sample Inference written by Michael W. McCracken and published by . This book was released on 1998 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Economic Review written by and published by . This book was released on 2001 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Compiled by the British Library of Political and Economic Science Publisher :Psychology Press ISBN 13 :9780415240093 Total Pages :660 pages Book Rating :4.2/5 (4 download)
Book Synopsis Ibss: Economics: 1999 by : Compiled by the British Library of Political and Economic Science
Download or read book Ibss: Economics: 1999 written by Compiled by the British Library of Political and Economic Science and published by Psychology Press. This book was released on 2000-12-07 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt: IBSS is the essential tool for librarians, university departments, research institutions and any public or private institution whose work requires access to up-to-date and comprehensive knowledge of the social sciences
Download or read book SSRI. written by and published by . This book was released on 1991 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Moving Endpoints and the Internal Consistency of Agents' Ex Ante Forecasts by : Sharon Kozicki
Download or read book Moving Endpoints and the Internal Consistency of Agents' Ex Ante Forecasts written by Sharon Kozicki and published by . This book was released on 1997 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Fed in Print written by and published by . This book was released on 1995 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Volatility Models and Their Applications by : Luc Bauwens
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-04-17 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Book Synopsis Forecasting Economic Time Series by : Michael Clements
Download or read book Forecasting Economic Time Series written by Michael Clements and published by Cambridge University Press. This book was released on 1998-10-08 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.
Download or read book Economic Policy Review written by and published by . This book was released on 1998 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Aanwinsten van de Centrale Bibliotheek (Queteletfonds) by : Bibliothèque centrale (Fonds Quetelet)
Download or read book Aanwinsten van de Centrale Bibliotheek (Queteletfonds) written by Bibliothèque centrale (Fonds Quetelet) and published by . This book was released on 2001 with total page 1008 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis General-to-specific Modeling by : Julia Campos
Download or read book General-to-specific Modeling written by Julia Campos and published by . This book was released on 2005 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Decision Sciences for COVID-19 by : Said Ali Hassan
Download or read book Decision Sciences for COVID-19 written by Said Ali Hassan and published by Springer Nature. This book was released on 2022-02-28 with total page 475 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents best practices involving applications of decision sciences, business tactics and behavioral sciences for COVID-19. Addressing concrete problems in these vital fields, it focuses on theoretical and methodological investigations of managerial decisions that drive production and service enterprises’ productivity and success. Moreover, it presents optimization techniques and tools that can also be adopted for other applications in various research areas after a thorough analysis of the specific problem. The book is intended for researchers and practitioners seeking optimum solutions to real-life problems in various application areas concerning COVID-19, helping them make scientifically founded decisions.
Book Synopsis INTERNATIONAL JOURNAL OF FORECASTING by : ROBERT FILDES
Download or read book INTERNATIONAL JOURNAL OF FORECASTING written by ROBERT FILDES and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data by : Anindya Banerjee
Download or read book Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data written by Anindya Banerjee and published by Oxford University Press. This book was released on 1993-05-27 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration and error-correction models are fundamental components of the modelling strategy. This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation, are also emphasized. A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.
Author :Torben Gustav Andersen Publisher :Springer Science & Business Media ISBN 13 :3540712976 Total Pages :1045 pages Book Rating :4.5/5 (47 download)
Book Synopsis Handbook of Financial Time Series by : Torben Gustav Andersen
Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Book Synopsis Predictability in Science and Society by : Basil John Mason
Download or read book Predictability in Science and Society written by Basil John Mason and published by . This book was released on 1986 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
