Sixth EABCN training school “Forecast Evaluation and Related Topics in Applied Time Series”
Topics: I. Forecast Evaluation A. Review of standard results B. Comparison of a small number of non-nested models: Diebold / Mariano / West (DMW) statistic; asymptotic irrelevance C. Comparison of a small number of nested models D. Comparison of a large number of models II. Present value models and random walks A. Interpretation of data from present values models when the discount factor is near one B. Using panels to estimate and forecast.
|Event dates:||2007-09-10 – 2007-09-14|
|Organizers:||Banco de Portugal Euro Area Business Cycle Network EABCN entre for Economic Policy Research CEPR|
|Conference venue:||Banco de Portugal, Lisbon|
Nadine Clarke (NClarke@cepr.org)
|Classification:||C2 - Econometric Methods: Single Equation Models ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models|
|Event type:||Seminare, Summer Schools, Symposien, Workshops; Seminars, Summer Schools, Symposiums, Workshops|