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Usefulness of the Information Contained in the Prediction Sample for the Spatial Error Model

Kato, Takafumi - 2013

A recent study proposed an estimation approach that uses data on the independent variables and location for the prediction sample, and suggested that it may improve estimation and prediction. This is an incomplete data approach following an iterative process along the lines of the EM algorithm....

Persistent link: https://www.econbiz.de/10013081022

Bayesian calibration of generalized pools of predictive distributions

Casarin, Roberto; Mantoan, Giulia; Ravazzolo, Francesco - In: Econometrics : open access journal 4 (2016) 1, pp. 1-24

Decision-makers often consult different experts to build reliable forecasts on variables of interest. Combining more opinions and calibrating them to maximize the forecast accuracy is consequently a crucial issue in several economic problems. This paper applies a Bayesian beta mixture model to...

Persistent link: https://www.econbiz.de/10011505901

Recovering the most entropic copulas from preliminary knowledge of dependence

Chu, Ba; Satchell, Stephen - In: Econometrics : open access journal 4 (2016) 2, pp. 1-21

This paper provides a new approach to recover relative entropy measures of contemporaneous dependence from limited information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC). The MECC can effectively be obtained by...

Persistent link: https://www.econbiz.de/10011505976

The past as prologue : a new approach to forecasting

Czasonis, Megan; Kritzman, Mark; Turkington, David - 2021 - This version: January 20, 2021

It is common practice to forecast social, political, and economic outcomes by polling people about their intentions. This approach is direct, but it can be unreliable in settings where it is hard to identify a representative sample, or where subjects have an incentive to conceal their true...

Persistent link: https://www.econbiz.de/10012501630

Predicting Sustainable Economic Welfare : analysis and perspectives for Luxembourg based on energy policy scenarios

Rugani, Benedetto; Marvuglia, Antonino; Pulselli, … - In: Technological forecasting & social change : an … 137 (2018), pp. 288-303

Persistent link: https://www.econbiz.de/10011962047

Which model for poverty predictions?

Verme, Paolo - 2020

OLS models are the predominant choice for poverty predictions in a variety of contexts such as proxy-means tests, poverty mapping or cross-survey imputations. This paper compares the performance of econometric and machine learning models in predicting poverty using alternative objective...

Persistent link: https://www.econbiz.de/10012159707

Predicting poverty with missing incomes

Verme, Paolo - 2023

Poverty prediction models are used by economists to address missing data issues in a variety of contexts such as poverty profiling, targeting with proxy-means tests, cross-survey imputations such as poverty mapping, or vulnerability analyses. Based on the models used by this literature, this...

Persistent link: https://www.econbiz.de/10014276037

DSGE-based priors for BVARs & quasi-Bayesian DSGE estimation

Filippeli, Thomai; Harrison, Richard; Theodoridis, … - 2018

We present a new method for estimating Bayesian vector autoregression (VAR) models using priors from a dynamic stochastic general equilibrium (DSGE) model. We use the DSGE model priors to determine the moments of an independent Normal-Wishart prior for the VAR parameters. Two hyper-parameters...

Persistent link: https://www.econbiz.de/10011886093

Sample Frequency Robustness and Accuracy in Forecasting Value at Risk for Brent Crude Oil Futures

Ewald, Christian; Hadina, Jelena; Haugom, Erik; Lien, … - 2022

across various sampling frequencies used to calculate realized volatility using formal coverage tests for out … most sampling frequencies used to calculate realized volatility. In comparison with the well-known Heterogenous Auto … proposed one-factor model is much less sensitive to the sampling frequency used tocalculate realized volatility …

Persistent link: https://www.econbiz.de/10013293080

A Semiparametric Forecasting Approach for Predicting the Consumer Price Index

Xu, Haichuan - 2022

price index …

Persistent link: https://www.econbiz.de/10014242533