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Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2021

uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a … some previously used measures significantly underestimate the conceptually correct benchmark forecast uncertainty …

Persistent link: https://www.econbiz.de/10013251262

Selective Attention in Exchange Rate Forecasting

Kapounek, Svatopluk; Kučerová, Zuzana; Kočenda, Evžen - 2021

We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency … for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a …

Persistent link: https://www.econbiz.de/10013245625

Categorical Forecasts and Non-Categorical Loss Functions

Bürgi, Constantin - 2020

forecasts are derived from non-directional forecasts and whether point forecast have predictive value when transformed into …

Persistent link: https://www.econbiz.de/10012834366

Should Faustmann Forecast Climate Change?

Gars, Johan - 2019

makes predicting these shifts hard. Hence, this paper asks whether forecasting them is necessary for optimal rotation … forecasting, we suggest a method utilizing Monte-Carlo simulations to obtain a credible upper bound on these losses. We show that …

Persistent link: https://www.econbiz.de/10012866409

Inefficiency in Social Security Trust Funds Forecasts

Lahiri, Kajal; Zhang, Junyan; Zhao, Yongchen - 2021

We examine forecast accuracy and efficiency of the Social Security Administration’s projections for cost rate, trust …

Persistent link: https://www.econbiz.de/10013313449

Limited Attention in the Housing Market : Threshold Effects of Energy-Performance Certificates on Property Prices and Energy-Efficiency Investments

Sejas-Portillo, Rodolfo; Comerford, David; Moro, Mirko; … - 2021

We study the effects of limited attention on property prices and energy efficiency (EE) investments in the housing market. Using a novel dataset, we analyse over 5 million residential property sale transactions in England and Wales, each containing information about sale price, property and...

Persistent link: https://www.econbiz.de/10013315011

The Short and the Long of it : Stock-Flow Matching in the US Housing Market

Smith, Eric; Xie, Zoe; Fang, Lei - 2022

This paper investigates the US housing market from just before the Great Recession onward (2006-2019) and assesses the viability of stock-flow matching in generating the observed outcomes. The paper documents that the probability a house sells declines sharply after listing for two weeks....

Persistent link: https://www.econbiz.de/10014243085

Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us

Haase, Felix; Neuenkirch, Matthias - 2021

-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …

Persistent link: https://www.econbiz.de/10013250734

Tax Revenue Forecast Errors : Wrong Predictions of the Tax Base or the Elasticity?

Göttert, Marcell; Lehmann, Robert - 2021

In this paper, we disentangle tax revenue forecast errors into influences stemming from wrong macroeconomic assumptions … the forecast errors of the energy tax and the sales taxes. For the overall tax sum, more than two-third of the error can … can reduce tax revenue forecast errors …

Persistent link: https://www.econbiz.de/10013222194

Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates : Evidence from Point and Density Forecasts

Anderl, Christina; Caporale, Guglielmo Maria - 2022

parameters we compare the out-of-sample forecasting performance of an inflation model including a shadow rate interaction term …

Persistent link: https://www.econbiz.de/10013292499