Does the Box–Cox transformation help in forecasting macroeconomic time series?
نویسندگان
چکیده
منابع مشابه
Eco 2011/29 Department of Economics Does the Box-cox Transformation Help in Forecasting Macroeconomic Time Series?
The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box-Cox power transformation, which applies to series measured on a ratio scale. We propose a nonparametric approach for estimating the optimal transformation parameter based on the frequency domain estimation of the prediction error v...
متن کاملVRIJE UNIVERSITEIT Topics in Forecasting Macroeconomic Time Series
Acknowledgements The latest three years have been intellectually challenging and great fun. Completing the PhD and writing this thesis was an amazing journey that would not have been possible without the support and encouragement of many outstanding people. First and foremost I would like to express my special appreciation and thanks to my supervisors, Prof. Siem Jan Koopman and Francisco Blasq...
متن کاملForecasting pooling for short time series of macroeconomic variables
It is rather common to have several competing forecasts for the same variable, and many methods have been suggested to pick up the best, on the basis of their past forecasting performance. As an alternative, the forecasts can be combined to obtain a pooled forecast, and several options are available to select what forecasts should be pooled, and how to determine their relative weights. In this ...
متن کاملThe Contribution of Structural Break Models to Forecasting Macroeconomic Series
This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the model which applies in each regime and the out-of-sample probability of a break occurring. In an extensive empirical evaluation involving many important macroeconomic time series, we de...
متن کاملa time-series analysis of the demand for life insurance in iran
با توجه به تجزیه و تحلیل داده ها ما دریافتیم که سطح درامد و تعداد نمایندگیها باتقاضای بیمه عمر رابطه مستقیم دارند و نرخ بهره و بار تکفل با تقاضای بیمه عمر رابطه عکس دارند
ذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2013
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2012.06.001