This paper investigates the performance of IMF WEO growth forecast revisions across different horizons and country groups. We find that: (i) in closer to actual are generally larger, more volatile, negative; (ii) on average, right direction, becoming progressively responsive error gap as get year; (iii) systemic economies relevant for all groups; (iv) Consensus Forecast highly correlated; (v) f...

Abstract A two-step estimator of a nonparametric regression function via Kernel regularized least squares (KRLS) with parametric error covariance is proposed. The KRLS, not considering any information in the covariance, improved by incorporating allowing for both heteroskedasticity and autocorrelation, estimating function. two step procedure used, where first step, estimated using KRLS residual...

This paper focuses on the practice of serial correlation correcting of the Linear Regression Model (LRM) by modeling the error. Simple Monte Carlo experiments are used to demonstrate the following points regarding this practice. First, the common factor restrictions implicitly imposed on the temporal structure of yt and xt appear to be completely unreasonable for any real world application. Sec...

We analyze the ability of an oceanic monitoring array to detect potential changes in the North Atlantic meridional overturning circulation (MOC). The observing array is ‘deployed’ into a numerical model (ECHAM5/MPI-OM), and simulates the measurements of density and wind stress at 26◦N in the Atlantic. The simulated array mimics the continuous monitoring system deployed in the framework of the U...

Previously, quality control and improvement researchers discussed multivariate control charts for independent processes and univariate control charts for autocorrelated processes separately. We combine the two topics and propose vector autoregressive (VAR) control charts for multivariate autocorrelated processes. In addition, we estimateAR(p) models instead ofARMAmodels for the systematic cause...

Modelling walking distance enables the observation of non-linearities in hedonic property pricing accessibility to greenspace. We test a penalized spline spatial error model (PS-SEM), which has two distinctive features. First, PS-SEM controls for presence spatially autocorrelated term. Second, allows continuous non-linear decay price premium as function greenspaces. As result, compared with tra...

We compare forecasts of recessions using four different specifications of the probit model: a time invariant conditionally independent version; a business cycle specific conditionally independent model; a time invariant probit with autocorrelated errors; and a business cycle specific probit with autocorrelated errors. The more sophisticated versions of the model take into account some of the po...