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It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean squared error (PMSE) in simulated out-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...
Persistent link: https://www.econbiz.de/10005504404
The results of this paper complement the recent findings of real exchange rates as stationary processes. The standard procedure of applying a battery of unit root tests can be problematic since the tests are sensitive to the specifics of the time-series process. The novelty of the approach we...
Persistent link: https://www.econbiz.de/10005504540
Recently, it has been suggested that macroeconomic forecasts from estimated DSGE models tend to be more accurate out-of-sample than random walk forecasts or Bayesian VAR forecasts. Del Negro and Schorfheide(2013) in particular suggest that the DSGE model forecast should become the benchmark for...
Persistent link: https://www.econbiz.de/10011083411
develop a novel method for selecting the estimation window size for forecasting. Specifically, we propose to choose the …
Persistent link: https://www.econbiz.de/10011083425
the asymptotic test distribution when applied to AR-GARCH type residuals obtained through QMLE estimation. To be precise …
Persistent link: https://www.econbiz.de/10011084012
In addition to quantitative assessment of economic growth using econometric models, business cycle analyses have been proved to be helpful to practitioners in order to assess current economic conditions or to anticipate upcoming fluctuations. In this paper, we focus on the acceleration cycle in...
Persistent link: https://www.econbiz.de/10005061478
Time series models are often adopted for forecasting because of their simplicity and good performance. The number of parameters in these models increases quickly with the number of variables modelled, so that usually only univariate or small-scale multivariate models are considered. Yet, data...
Persistent link: https://www.econbiz.de/10005661430
This paper explores the usefulness of bagging methods in forecasting economic time series from linear multiple regression models. We focus on the widely studied question of whether the inclusion of indicators of real economic activity lowers the prediction mean-squared error of forecast models...
Persistent link: https://www.econbiz.de/10005661494
There has been serious suspicion of a spurious rejection of the unit roots in panel studies of PPP due to the failure to control for cross-sectional dependence. This article presents evidence of mean-reversion in industrial country real exchange rates in a set up that accounts naturally for...
Persistent link: https://www.econbiz.de/10005661753
Evaluation of forecast optimality in economics and finance has almost exclusively been conducted under the assumption of mean squared error loss. Under this loss function optimal forecasts should be unbiased and forecast errors serially uncorrelated at the single-period horizon with increasing...
Persistent link: https://www.econbiz.de/10005661998