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A non-linear forecast combination procedure for binary outcomes

Lahiri, Kajal; Yang, Liu - 2015

We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating...

Persistent link: https://www.econbiz.de/10010475341

High-dimensional forecasting with known knowns and known unknowns

Pesaran, M. Hashem; Smith, Ron - 2024

Forecasts play a central role in decision making under uncertainty. After a brief review of the general issues, this paper considers ways of using high-dimensional data in forecasting. We consider selecting variables from a known active set, known knowns, using Lasso and OCMT, and approximating...

Persistent link: https://www.econbiz.de/10014469011

Point and density forecasts for the euro area using Bayesian VARs

Berg, Tim Oliver; Henzel, Steffen - 2014

Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...

Persistent link: https://www.econbiz.de/10010257225

ROC and PRC approaches to evaluate recession forecasts

Lahiri, Kajal; Cheng, Yang - 2023

We have studied the relationship between Receiver Operating Characteristics (ROC) and Precision-Recall Curve (PRC) both analytically and using a real-life empirical example of yield spread as a predictor of recessions. We show that false alarm rate in ROC and inverted precision in PRC are...

Persistent link: https://www.econbiz.de/10014284725

Valuing the time of the self-employed

Agness, Daniel; Baseler, Travis; Chassang, Sylvain; … - 2022

People’s value for their own time is a key input in evaluating public policies: evaluations should account for time …-DeGroot-Marschak - BDM - mechanism of Becker et al., 1964) correctly measure participants' value of time. Using a structural model, we … cash either for time or for goods. Our model estimates suggest that valuing the time of the self-employed at 60% of the …

Persistent link: https://www.econbiz.de/10012815796

The Nordhaus test with many zeros

Lahiri, Kajal; Zhao, Yongchen - 2020

We reformulate the Nordhaus test as a friction model where the large number of zero revisions are treated as censored, i.e., unknown values inside a small region of "imperceptibility." Using Blue Chip individual forecasts of U.S. real GDP growth, inflation, and unemployment over 1985-2020, we...

Persistent link: https://www.econbiz.de/10012226771

Forecasting time series subject to multiple structural breaks

Pettenuzzo, Davide; Pesaran, M. Hashem; Timmermann, Allan - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

Persistent link: https://www.econbiz.de/10011450047

Real-time forecasting using mixed-frequency VARs with time-varying parameters

Heinrich, Markus; Reif, Magnus - 2020

This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive … by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MFTVP …

Persistent link: https://www.econbiz.de/10012154665

Rising to the challenge : Bayesian estimation and forecasting techniques for macroeconomic agent-based models

Delli Gatti, Domenico; Grazzini, Jakob - 2019

the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series …. Second, we propose a method to forecast aggregate time series using data obtained from the simulation of an ABM. We apply our …

Persistent link: https://www.econbiz.de/10012119860

Imputing monthly values for quarterly time series : an application performed with Swiss business cycle data

Abberger, Klaus; Graff, Michael; Müller, Oliver; … - 2022

) observations comprise the set of time series from the monthly KOF manufacturing BTS survey. At the same time, theses series are …

Persistent link: https://www.econbiz.de/10013482570