Showing 1 - 10 of 82
This paper develops a testing framework for comparing the predictive accuracy of copula-based multivariate density forecasts, focusing on a specific part of the joint distribution. The test is framed in the context of the Kullback-Leibler Information Criterion, but using (out-of-sample)...
Persistent link: https://www.econbiz.de/10013082931
Persistent link: https://www.econbiz.de/10009720755
Persistent link: https://www.econbiz.de/10001508942
Persistent link: https://www.econbiz.de/10001421498
Persistent link: https://www.econbiz.de/10001484071
Persistent link: https://www.econbiz.de/10001486254
Persistent link: https://www.econbiz.de/10000944648
Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for quarterly industrial production series...
Persistent link: https://www.econbiz.de/10001600051
Persistent link: https://www.econbiz.de/10001575240
Persistent link: https://www.econbiz.de/10001836409