Similar Search Results

Corradi, Valentina; Swanson, Norman R. - 2006

”. Journal of Econometrics, in press; Corradi, V., Swanson, N.R. (2006b). “Predictive density and conditional confidence interval … accuracy tests”. Journal of Econometrics, in press], Hong and Li [Hong, Y.M., Li, H.F. (2003). “Nonparametric specification …

Persistent link: https://www.econbiz.de/10014023701

Chapter 3 Forecast Evaluation

West, Kenneth D. - 2006

This chapter summarizes recent literature on asymptotic inference about forecasts. Both analytical and simulation based methods are discussed. The emphasis is on techniques applicable when the number of competing models is small. Techniques applicable when a large number of models is compared to...

Persistent link: https://www.econbiz.de/10014023703

Random walk forecasts of stationary processes have low bias

Lunsford, Kurt G.; West, Kenneth D. - 2023

Persistent link: https://www.econbiz.de/10014340065

Predictive model assessment and selection in composite-based modeling using PLS-SEM : extensions and guidelines for using CVPAT

Sharma, Pratyush Nidhi; Liengaard, Benjamin Dybro; … - In: European journal of marketing 57 (2023) 6, pp. 1662-1677

Persistent link: https://www.econbiz.de/10014342089

Forecasting financial and macroeconomic variables using data reduction methods : new empirical evidence

Kim, Hyun Hak; Swanson, Norman R. - In: Journal of econometrics 178 (2014) 1, pp. 352-367

Persistent link: https://www.econbiz.de/10010256842

Mining big data using parsimonious factor and shrinkage methods

Kim, Hyun Hak; Swanson, Norman R. - 2013

of prediction using "big data". In this paper, our over-arching question is whether such "big data" are useful for … approaches, and benchmark econometric models; and all used in the prediction of 11 key macroeconomic variables relevant for … forms of shrinkage. For example, SPCA yields MSFE-best prediction models in many cases, particularly when coupled with …

Persistent link: https://www.econbiz.de/10009766687

Prediction after IV estimation

Skeels, Christopher L.; Taylor, Larry W. - In: Economics letters 122 (2014) 3, pp. 420-422

Persistent link: https://www.econbiz.de/10010395621

A note on the hidden risk of inflation

El-Shagi, Makram; Giesen, Sebastian - In: Journal of economic policy reform 17 (2014) 1, pp. 91-97

Persistent link: https://www.econbiz.de/10010358405

Backward-in-time selection of the order of dynamic regression prediction model

Vlachos, Ioannis; Kugiumtzis, Dimitris - In: Journal of forecasting 32 (2013) 8, pp. 685-701

Persistent link: https://www.econbiz.de/10010344464

The equality between linear transforms of ordinary least squares and best linear unbiased estimator

Groß, Jürgen; Trenkler, Götz - 1998

The best linear unbiased estimator BLUE (CXb) of a linear transform CX b in the general Gauss-Markov model (y, E (y) = X b Cov (y) =a2v) is the linear transform C BLUE (Xb) of the best linear unbiased estimator BLUE (Xb) of Xb. Similarly, for the ordinary least squares estimator OLSE (CXb) = C...

Persistent link: https://www.econbiz.de/10010467706