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Forecast Combination And Encompassing
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Book Synopsis The Use of Encompassing Tests for Forecast Combinations by : Turgut Kisinbay
Download or read book The Use of Encompassing Tests for Forecast Combinations written by Turgut Kisinbay and published by International Monetary Fund. This book was released on 2007-11 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S. macroecoomic data set. The results are encouraging as the algorithm forecasts outperform benchmark model forecasts, in a mean square error (MSE) sense, in a majority of cases.
Book Synopsis Forecast Combination and Encompassing by : Francis X. Diebold
Download or read book Forecast Combination and Encompassing written by Francis X. Diebold and published by . This book was released on 1989 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System by :
Download or read book Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System written by and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System by : Mauro Costantini
Download or read book Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System written by Mauro Costantini and published by . This book was released on 2012 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE System by : Mauro Costantini
Download or read book Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE System written by Mauro Costantini and published by . This book was released on 2010 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Predicting Recessions by : Chikako Baba
Download or read book Predicting Recessions written by Chikako Baba and published by International Monetary Fund. This book was released on 2011-10-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and combines the forecasts. An application to U.S. data shows that forecasts obtained from the algorithm are consistently among the best in a large comparative forecasting exercise at various forecasting horizons. In addition, the selected indicators are reasonable and consistent with the standard leading indicators followed by many observers of business cycles. The suggested algorithm has several advantages, including wide applicability and objective variable selection.
Book Synopsis Forecast Evaluation and Combination by : Francis X. Diebold
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.
Book Synopsis Forecast Encompassing and Parameter Estimation by : David I. Harvey
Download or read book Forecast Encompassing and Parameter Estimation written by David I. Harvey and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A desirable property of a forecast is that it encompasses competing predictions, in the sense that the accuracy of the preferred forecast cannot be improved through linear combination with a rival prediction. In this paper, we investigate the impact of the uncertainty associated with estimating model parameters in-sample on the encompassing properties of out-of-sample forecasts. Specifically, using examples of non-nested econometric models, we show that forecasts from the true (but estimated) data generating process (DGP) do not encompass forecasts from competing mis-specified models in general, particularly when the number of in-sample observations is small. Following this result, we also examine the scope for achieving gains in accuracy by combining the forecasts from the DGP and mis-specified models.
Book Synopsis Handbook of Economic Forecasting by : Graham Elliott
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Book Synopsis Combination of Forecast Methods Using Encompassing Tests by : Mauro Costantini
Download or read book Combination of Forecast Methods Using Encompassing Tests written by Mauro Costantini and published by . This book was released on 2008 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Literaturverz. S. 8 - 9.
Book Synopsis Relationship of Forecast Encompassing to Composite Forecasts with Simulations and an Application by : Keunkwan Ryu
Download or read book Relationship of Forecast Encompassing to Composite Forecasts with Simulations and an Application written by Keunkwan Ryu and published by . This book was released on 1992 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Companion to Economic Forecasting by : Michael P. Clements
Download or read book A Companion to Economic Forecasting written by Michael P. Clements and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together in a single volume a range of contrasting approaches and views. Uniquely surveying forecasting in a single volume, the Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed.
Book Synopsis Forecast Encompassing Tests and Probability Forecasts by : Michael P. Clements
Download or read book Forecast Encompassing Tests and Probability Forecasts written by Michael P. Clements and published by . This book was released on 2006 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Book Synopsis Forecast Combinations in a DSGE-VAR Lab by : Mauro Costantini
Download or read book Forecast Combinations in a DSGE-VAR Lab written by Mauro Costantini and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore the benefits of forecast combinations based on forecast- encompassing tests compared to simple averages and to Bates-Granger combinations. We also consider a new combination method that fuses test-based and Bates-Granger weighting. For a realistic simulation design, we generate multivariate time-series samples from a macroe- conomic DSGE-VAR model. Results generally support Bates-Granger over uniform weighting, whereas benefits of test-based weights depend on the sample size and on the prediction horizon. In a corresponding application to real-world data, simple averaging performs best. Uni- form averages may be the weighting scheme that is most robust to empirically observed irregularities.
Book Synopsis Principles of Forecasting by : J.S. Armstrong
Download or read book Principles of Forecasting written by J.S. Armstrong and published by Springer Science & Business Media. This book was released on 2001 with total page 880 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook summarises knowledge from experts and empirical studies. It provides guidelines that can be applied in fields such as economics, sociology, and psychology. Includes a comprehensive forecasting dictionary.
Book Synopsis The Oxford Handbook of Economic Forecasting by : Michael P. Clements
Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by OUP USA. This book was released on 2011-07-08 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
