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Cochrane, John H. - 2012

I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas

Persistent link: https://www.econbiz.de/10012460479

The economics of new goods : [contains revised versions of the papers and discussion presented at the Conference on Research in Income and Wealth entitled New Products : history, t...

Bresnahan, Timothy F. (ed.); Gordon, Robert J. (ed.) - 1997

Persistent link: https://www.econbiz.de/10000592908

Why Has U.S. Inflation Become Harder to Forecast?

Stock, James H. - 2006

Forecasts of the rate of price inflation play a central role in the formulation of monetary policy, and forecasting … forecasting puzzles. It appears currently to be difficult for multivariate forecasts to improve on forecasts made using this time …

Persistent link: https://www.econbiz.de/10012466341

Empirical Bayes Forecasts of One Time Series Using Many Predictors

Knox, Thomas - 2001

We consider both frequentist and empirical Bayes forecasts of a single time series using a linear model with T observations and K orthonormal predictors. The frequentist formulation considers estimators that are equivariant under permutations (reorderings) of the regressors. The empirical Bayes...

Persistent link: https://www.econbiz.de/10012470584

Answering the Critics : Yes, ARCH Models Do Provide Good Volatility Forecasts

Andersen, Torben G. - 1997

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...

Persistent link: https://www.econbiz.de/10012472795

Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models

Cheung, Yin-Wong - 1997

Exchange rate forecasts are generated using some popular monetary models of exchange rates in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following requirements: the forecast and the actual series...

Persistent link: https://www.econbiz.de/10012472881

Comparing Predictive Accuracy

Diebold, Francis X. - 1994

Using research designs patterned after randomized experiments, many recent economic studies examine outcome measures for treatment groups and comparison groups that are not randomly assigned. By using variation in explanatory variables generated by changes in state laws, government draft...

Persistent link: https://www.econbiz.de/10012473994

Evidence on Structural Instability in Macroeconomic Time Series Relations

Stock, James H. - 1994

series relations and to ascertain whether various adaptive forecasting techniques successfully handle any such instability … representative U.S. monthly postwar macroeconomic time series, constituting 5700 bivariate forecasting relations. The tests indicate … widespread instability in univariate and bivariate autoregressive models. However, adaptive forecasting models, in particular …

Persistent link: https://www.econbiz.de/10012474068

The Predictive Ability of Several Models of Exchange Rate Volatility

West, Kenneth D. - 1994

We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and …

Persistent link: https://www.econbiz.de/10012474328

Filtering and Forecasting with Misspecified Arch Models II : Making the Right Forecast with the Wrong Model

Nelson, Daniel B. - 1992

medium and long term forecasting. In this paper, we develop conditions under which a misspecified ARCH model successfully … performs both tasks, filtering and forecasting. The key requirement (in addition to the conditions for consistent filtering) is …

Persistent link: https://www.econbiz.de/10012474743

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