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On the estimation and forecasting of international migration: how relevant is heterogeneity across countries?

Brücker, Herbert; Siliverstovs, Boriss - 2005

This paper performs a comparative analysis of estimation as well as of out-of-sample forecasting results of more than … estimates of the migration function. Out-of-sample forecasting results indicate the following: (i) the standard fixed effects … variables estimators, (iv) forecasting performance of heterogenous estimators is mediocre in our data set. …

Persistent link: https://www.econbiz.de/10010267584

Forecasting European GDP using self-exciting threshold autoregressive models: A warning

Crespo-Cuaresma, Jesus - 2000

-term predictions. Due to the characteristics of the residuals, a bootstrapping method of forecasting was also used, yielding even …

Persistent link: https://www.econbiz.de/10010292409

Parameter instability and forecasting performance: A Monte Carlo study

Anyfantakis, Costas; Caporale, Guglielmo M.; Pittis, Nikitas - 2004

This paper uses Monte Carlo techniques to assess the loss in terms of forecast accuracy which is incurred when the true DGP exhibits parameter instability which is either overlooked or incorrectly modelled. We find that the loss is considerable when a FCM is estimated instead of the true TVCM,...

Persistent link: https://www.econbiz.de/10010293752

One-factor-Garch models for German stocks: Estimation and forecasting

Kaiser, Thomas - 1996

This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...

Persistent link: https://www.econbiz.de/10010435583

Forecasting with artificial network models

Rech, Gianluigi - 2002

This paper contains a forecasting exercise on 30 time series, ranging on several fields, from economy to ecology. The …

Persistent link: https://www.econbiz.de/10010281250

Estimation and forecasting using mixed-frequency DSGE models

Meyer-Gohde, Alexander; Shabalina, Ekaterina - 2022

higher frequency auxiliary data only for forecasting (see Giannone, Monti and Reichlin (2016)). The second method transforms … our method substantially decreases forecasting errors for recessions, but casting the model in a monthly frequency …

Persistent link: https://www.econbiz.de/10013465707