Forecasting With Nonspurious Factors in U.S. Macroeconomic Time Series
نویسندگان
چکیده
منابع مشابه
VRIJE 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 کاملSmooth transition autoregressions, neural networks, and linear models in forecasting macroeconomic time series: A re-examination
In this paper we examine the forecast accuracy of four univariate time series models for 47 macroeconomic variables of the G7 economies. The models considered are the linear autoregressive model, the smooth transition autoregressive model, and two neural network models. The two neural network models are different because they are specified using two different techniques. Forecast accuracy is as...
متن کاملTesting Stochastic Cycles in Macroeconomic Time Series
A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte Carlo experiment is conducted, studying the size and the power of the tests against different alternatives, and the results are compared with those based on ...
متن کاملTime-series Scenario Forecasting
Many applications require the ability to judge uncertainty of time-series forecasts. Uncertainty is often specified as point-wise error bars around a mean or median forecast. Due to temporal dependencies, such a method obscures some information. We would ideally have a way to query the posterior probability of the entire time-series given the predictive variables, or at a minimum, be able to dr...
متن کاملذخیره 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: Journal of Business & Economic Statistics
سال: 2016
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2015.1004071