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Modeling the impact of forecast-based regime switches on macroeconomic time series

Paap, Richard; Bel, Bel, K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013

Forecasts of key macroeconomic variables may lead to policy changes of governments, central banks and other economic agents. Policy changes in turn lead to structural changes in macroeconomic time series models. To describe this phenomenon we introduce a logistic smooth transition autoregressive...

Persistent link: https://www.econbiz.de/10010837733

Experts' adjustment to model-based forecasts: Does the forecast horizon matter?

Franses, Philip Hans; Legerstee, Legerstee, R. - Faculteit der Economische Wetenschappen, Erasmus … - 2007

Experts may have domain-specific knowledge that is not included in a statistical model and that can improve forecasts. While one-step-ahead forecasts address the conditional mean of the variable, model-based forecasts for longer horizons have a tendency to convert to the unconditional mean of a...

Persistent link: https://www.econbiz.de/10010837737

A multivariate STAR analysis of the relationship between money and output

van Dijk, Dick; Franses, Philip Hans; Rothman, P. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

-of-sample forecasting exercise to study money-income Granger causality, both linear and nonlinear, we believe is new to the literature. The … forecasting results do not suggest that money is nonlinearly Granger causal for output. In fact, they show that by allowing money … to nonlinearly Granger cause output, the forecasting performance of the STVECM is significantly worsened. …

Persistent link: https://www.econbiz.de/10010837854

Forecasting 1 to h steps ahead using partial least squares.

Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 2006

(p) model for all forecast horizons and different AR models for different horizons. Representation, estimation and forecasting …

Persistent link: https://www.econbiz.de/10010837899

Seasonal smooth transition autoregression

Franses, Philip Hans; van Dijk, Dick; de Bruin, de Bruin, P. - Faculteit der Economische Wetenschappen, Erasmus … - 2000

out-of-sample forecasting where we compare forecasts from the SEASTAR models with forecasts from nested models. It turns …

Persistent link: https://www.econbiz.de/10010837909

Impulse-response analysis of the market share attraction model

Franses, Philip Hans; Fok, Fok, D. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

We propose a simulation-based technique to calculate impulse-response functions and their confidence intervals in a market share attraction model [MCI]. As an MCI model implies a reduced form model for the logs of relative market shares, simulation techniques have to be used to obtain the...

Persistent link: https://www.econbiz.de/10010837934

Smooth transition autoregressive models - A survey of recent developments

van Dijk, Dick; Franses, Philip Hans; Terasvirta, T. - Faculteit der Economische Wetenschappen, Erasmus … - 2000

several of its variants. We put emphasis on new methods for testing for STAR nonlinearity, model evaluation, and forecasting …

Persistent link: https://www.econbiz.de/10010837958

The Late 1970's Bubble in Dutch Collectible Postage Stamps

Franses, Philip Hans; Knecht, Knecht, W. - Faculteit der Economische Wetenschappen, Erasmus … - 2012

Collectible postage stamp prices in the Netherlands witnessed a bubble in the late 1970’s, while prices rapidly floored in the mid 1980’s. We analyze 500 individual stamps prices (instead of a single index) to examine if the bubble could somehow have been predicted and whether there were...

Persistent link: https://www.econbiz.de/10010837966

Forecasting the Levels of Vector Autoregressive Log-Transformed Time Series

Franses, Philip Hans; Ariño, M.A. - Faculteit der Economische Wetenschappen, Erasmus … - 1996

In this paper we give explicit expressions for the forecasts of levels of a vector time series when such forecasts are generated from (possibly cointegrated) vector autoregressions for the corresponding log-transformed time series. We also show that simply taking exponentials of forecasts for...

Persistent link: https://www.econbiz.de/10011067487

The Impact of Jumps and Leverage in Forecasting Co-Volatility

Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2015

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … for forecasting weekly and monthly horizons. …

Persistent link: https://www.econbiz.de/10011274348