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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015

risks. With a slight reformulation of the loss function and a standard factor decomposition of a panel of forecasts, we show …

Persistent link: https://www.econbiz.de/10011305389

Change point estimation in panel data without boundary issue

Peštová, Barbora; Pešta, Michal - In: Risks : open access journal 5 (2017) 1, pp. 1-22

Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of … observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In … in panel data is established. The results are illustrated through a simulation study. As a by-product of the developed …

Persistent link: https://www.econbiz.de/10011636497

Growth and structural changes in transition countries : the chicken or the egg?

Olczyk, Magdalena; Kordalska, Aleksandra - 2018

panel Granger causality analysis based on annual data for 8 transition countries, covering the period 1995-2011. The main …

Persistent link: https://www.econbiz.de/10011844751

Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020

standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …

Persistent link: https://www.econbiz.de/10012405456

Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015

risks. With a slight reformulation of the loss function and a standard factor decomposition of a panel of forecasts, we show …

Persistent link: https://www.econbiz.de/10011307129

Growth and structural changes in transition countries: The chicken or the egg?

Olczyk, Magdalena; Kordalska, Aleksandra - 2018

panel Granger causality analysis based on annual data for 8 transition countries, covering the period 1995-2011. The main …

Persistent link: https://www.econbiz.de/10012057316

Change point estimation in panel data without boundary issue

Peštová, Barbora; Pešta, Michal - In: Risks 5 (2017) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011709583

Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020

standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …

Persistent link: https://www.econbiz.de/10012492956

A Factor Analytical Approach to Price Discovery

Westerlund, Joakim; Reese, Simon; Narayan, Paresh - Nationalekonomiska Institutionen, Ekonomihögskolan - 2014

Existing econometric approaches for studying price discovery presume that the number of markets are small, and their properties become suspect when this restriction is not met. They also require making identifying restrictions and are in many cases not suitable for statistical inference. The...

Persistent link: https://www.econbiz.de/10011157175

Multivariate unit root tests

Szafarz, Ariane; Flôres, Renato; Preumont, Pierre-Yves - Centre Emile Bernheim, Solvay Brussels School of … - 1995

This paper presents a new multivariate test for the detection of unit roots. Use is made of the possible correlations between the disturbances of different series, and constrained and unconstrained SURE estimators are employed. The corresponding asymptotic distributions are obtained and a table...

Persistent link: https://www.econbiz.de/10005558898