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Disagreement among forecasters in G7 countries

Dovern, Jonas; Fritsche, Ulrich; Slacalek, Jirka - 2009

disagreement (crosssectional dispersion of forecasts) about six key economic indicators. Disagreement about real variables (GDP …, consumption, investment and unemployment) has a distinct dynamic from disagreement about nominal variables (inflation and interest … rate). Disagreement about real variables intensifies strongly during recessions, including the current one (by about 40 …

Persistent link: https://www.econbiz.de/10010425866

Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks : open access journal 4 (2016) 1, pp. 1-14

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...

Persistent link: https://www.econbiz.de/10011443686

Forecasting with Nonlinear Time Series Models

Terasvirta, Timo; Kock, Anders Bredahl - 2010

In this paper, nonlinear models are restricted to mean nonlinear parametric models. Several such models popular in time series econometrics are presented and some of their properties discussed. This includes two models based on universal approximators: the Kolmogorov-Gabor polynomial model and...

Persistent link: https://www.econbiz.de/10014199417

Collinearity and the Use of Latent Root Regression for Combining GNP Forecasts

Guerard, John - 2016

Persistent link: https://www.econbiz.de/10012997035

Simultaneous Confidence Corridors and Variable Selection for Generalized Additive Models

Zheng, Shuzhuan - 2017

In spite of the widespread use of generalized additive models (GAMs), there is no well established methodology for simultaneous inference and variable selection for the components of GAM. There is no doubt that both, inference on the marginal component functions and their selection, are...

Persistent link: https://www.econbiz.de/10012966541

Comprehensive Time-Series Regression Models Using Gretl — U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013

Shi, Juehui - 2019

Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...

Persistent link: https://www.econbiz.de/10012904559

Chapter 8 Forecasting economic variables with nonlinear models

Teräsvirta, Timo - 2006

The topic of this chapter is forecasting with nonlinear models. First, a number of well-known nonlinear models are introduced and their properties discussed. These include the smooth transition regression model, the switching regression model whose univariate counterpart is called threshold...

Persistent link: https://www.econbiz.de/10014023698

Variable selection in high dimensional linear regressions with parameter instability

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2023

This paper is concerned with the problem of variable selection when the marginal effects of signals on the target variable as well as the correlation of the covariates in the active set are allowed to vary over time, without committing to any particular model of parameter instabilities. It poses...

Persistent link: https://www.econbiz.de/10013494088

Applications of Least Mean Square (LMS) Algorithm Regression in Time-Series Analysis

Giovanis, Eleftherios - 2010

In this paper we present a very brief description of least mean square algorithm with applications in time-series analysis of economic and financial time series. We present some numerical applications; forecasts for the Gross Domestic Product growth rate of UK and Italy, forecasts for S&P 500...

Persistent link: https://www.econbiz.de/10013138755

A Quantile Regression Approach to Equity Premium Prediction

Meligkotsidou, Loukia - 2014

We propose a quantile regression approach to equity premium forecasting. Robust point forecasts are generated by both fixed and time-varying weighting schemes, thus exploiting the entire distributional information associated with each predictor. Further gains are achieved by incorporating the...

Persistent link: https://www.econbiz.de/10013066092