Changes in predictive ability with mixed frequency data

Frequency Domain Predictive Modelling with Aggregated Data

Existing work in spatio-temporal data analysis invariably assumes data available as individual measurements with localised estimates. However, for many applications like econometrics, financial forecasting and climate science, data is often obtained as aggregates. Data aggregation presents severe mathematical challenges to learning and inference, and application of standard techniques is suscep...

Tests of Equal Predictive Ability with Real-Time Data

This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy applied to direct, multi–step predictions from both non-nested and nested linear regression models. In contrast to earlier work in the literature, our asymptotics take account of the real-time, revised nature of the data. Monte Carlo simulations indicate that our asymptotic approximations yield r...

Predictive Ability With Cointegrated Variables¤

In this paper we outline conditions under which the Diebold and Mariano (DM: 1995) test for predictive ability can be extended to the case of two forecasting models, each of which may include cointegrating relations, when allowing for parameter estimation error. We show that in the cases where either the loss function is quadratic or the length of the prediction period, P, grows at a slower rat...

comparison of blood flow velocity changes in posterior cerebral artery measured with transcranial doppler sonography in migraineurs with visual aura and normal persons after photostimulation

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Frequency Domain Predictive Modelling with Aggregated Data Supplementary Material