Search Results - subject:"FORECAST EVALUATION"

Valderrama, Maria Teresa; Rumler, Fabio - Oesterreichische Nationalbank - 2008

The New Keynesian Phillips Curve, as a structural model of inflation dynamics, has mostly been used to explain past inflation developments, but has hardly been used for forecasting purposes. We propose a method of forecasting inflation based on the present-value formulation of the hybrid New...

Persistent link: https://www.econbiz.de/10010727670

Quarterly Earnings Estimates for Publicly Traded Agribusinesses: An Evaluation

Manfredo, Mark R.; Sanders, Dwight R.; Scott, Winifred - Western Agricultural Economics Association - WAEA - 2008

Decisions made by publicly traded agribusinesses impact suppliers, processors, farmers, and even rural communities. Professional analysts’ estimates of earnings per share (EPS) provide a unique source of information regarding firm-level financial performance. Incorporating a battery of tests,...

Persistent link: https://www.econbiz.de/10005039201

How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts

Knüppel, Malte; Schultefrankenfeld, Guido - Deutsche Bundesbank - 2008

Macroeconomic risk assessments play an important role in the forecasts of many institutions. However, to the best of our knowledge their performance has not been investigated yet. In this work, we study the Bank of England?s risk forecasts for inflation. We find that these forecasts do not...

Persistent link: https://www.econbiz.de/10005059017

Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

, forecast evaluation, testing indepen- dence, contingency tables, bootstrap. JEL classification: C32, C52, C53, E17, E27, E47, F … frequently used within the context of directional forecast evaluation. The χ2–approach is applied, inter alia, by Schnader and …–sided hypotheses which is particularly useful within the context of directional forecast evaluation. 9 3.2.2 Static/dynamic regression …

Persistent link: https://www.econbiz.de/10005652761

A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006)

Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2008

We show that long horizon forecasts from the nonlinear models that are considered in the study by Rapach andWohar (2006) cannot generate any forecast gains over a simple AR(1) specification. This is contrary to the findings reported in Rapach and Wohar (2006). Moreover, we illustrate graphically...

Persistent link: https://www.econbiz.de/10005621893

Comparing the New Keynesian Phillips Curve with Time Series Models to Forecast Inflation

Rumler, Fabio; Valderrama, Maria Teresa - Oesterreichische Nationalbank - 2008

Persistent link: https://www.econbiz.de/10005802639

Information Content in Deferred Futures Prices: Live Cattle and Hogs

Sanders, Dwight R.; Garcia, Philip; Manfredo, Mark R. - In: Journal of Agricultural and Resource Economics 33 (2008) 01

The informational content in live cattle and hog deferred futures prices is assessed using a direct test of incremental forecast ability for two- to twelve-month horizons. For 1976-2007, the results indicate that hog futures prices add incremental information at all horizons, but unique...

Persistent link: https://www.econbiz.de/10005805339

A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)

Buncic, Daniel - School of Economics, UNSW Business School - 2008

. Section 2 briefly outlines the competing models that are employed in the forecast evaluation exercise together with a … inner and outer regimes being smooth rather than discrete. The benchmark model in the forecast evaluation of Rapach and … means of the two models is substantial. This makes forecast evaluation more difficult, as not only is the difference between …

Persistent link: https://www.econbiz.de/10005135159

Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Institute - 2008

We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted...

Persistent link: https://www.econbiz.de/10005137187

Forecasting Global Flows

Skriner, Edith - FIW - 2008

The theory suggests that investment activities and monetary policy influence the development of the global business cycle. The oil price and other raw material prices also play a key role in the economic development and there is a comovement among oil consumption and global output. Therefore,...

Persistent link: https://www.econbiz.de/10005146600