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Assessing Forecast Performance in a VEC Model: An Empirical Examination

Bragoudakis, Zacharias - EconWPA - 2005

This paper is an exercise in applied macroeconomic forecasting. We examine the forecasting power of a vector error … expenditure as suggested by the economic theory. We compare the estimated forecasting values of the endogenous variables to the …

Persistent link: https://www.econbiz.de/10005556281

Forecasting Industrial Production and the Early Detection of Turning Points

Bruno, Giancarlo; Lupi, Claudio - EconWPA - 2001

In this paper we propose a simple model to forecast industrial production in Italy. We show that the forecasts produced using the model outperform some popular forecasts as well as those stemming from a trading days- and outlier-robust ARIMA model used as a benchmark. We show that the use of...

Persistent link: https://www.econbiz.de/10005556310

What causes the forecasting failure of Markov-Switching models? A Monte Carlo study

Bessec, Marie; Bouabdallah, Othman - EconWPA - 2005

This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a … models. In order to explain this poor performance, we use a forecasting error decomposition. We identify four components and …

Persistent link: https://www.econbiz.de/10005556398

Predicting job performance: A comparison of expert opinion and research findings*

Dakin, Stephen; Armstrong, JS - EconWPA - 2004

A survey was conducted of New Zealand personnel consultants. Their beliefs about the validity of various selection tools and their claimed usage of these tools was then compared with the validities in a previously published meta-analysis. The experts claimed to use the predictors they believed...

Persistent link: https://www.econbiz.de/10005556517

Proxying for Expected Returns with Price Earnings Ratios

Hansen, Charlotte S.; Tuypens, Bjorn E. - EconWPA - 2004

ratio when forecasting long-run returns. The empirical results for the S&P 500 show the superiority of our approach to …

Persistent link: https://www.econbiz.de/10005134659

One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -

Kaiser, Thomas - EconWPA - 1996

This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...

Persistent link: https://www.econbiz.de/10005407963

Fifty years of Research on Accuracy of Capital Expenditure Project Estimates: A Review of the Findings and their Validity.

Linder, Stefan - EconWPA - 2005

outflows – are of inferior quality, it is justifiable to call this focus into question by exploring forecasting accuracy. In … 1954 and 2002. As the review shows, over-optimism seems to be a relevant problem in capital expenditure project forecasting … budgeting and at ways to improve forecasting accuracy seems necessary. …

Persistent link: https://www.econbiz.de/10005413083

Long-Run Regressions: Theory and Application to US Asset Markets

Hansen, Charlotte S.; Tuypens, Bjorn E. - EconWPA - 2004

The question of long-run predictability in the aggregate US stock market is still unsettled. This is due to the lack of a robust method to judge the statistical significance of long-run regressions under the maintained hypothesis. By developing a spectral theory of long-run regressions with both...

Persistent link: https://www.econbiz.de/10005413151

ON THE FORECASTABILITY OF ASEAN-5 STOCK MARKETS RETURNS USING TIME SERIES MODELS

Liew, Khim-Sen; Lim, Kian-Ping; Choong, Chee-Keong - EconWPA - 2003

This study examines the forecastability of ASEAN-5 stock market returns using linear and non-linear time series models. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the behaviour of these returns do not follow random walk...

Persistent link: https://www.econbiz.de/10005076958

Forecasting the demand for an employee Park and Ride service using commuters’ stated choices.

Hole, Arne Risa - EconWPA - 2003

This paper uses Stated Choice (SC) data to forecast the demand for an employee Park and Ride service. Since it is well known that SC data contain sources of variation not present in Revealed Preference (RP) data we pay special attention to the scaling of the SC model. The results show that the...

Persistent link: https://www.econbiz.de/10005118998