Similar Search Results

A note on uncertainty due to infectious diseases and output growth of the United States : a mixed-frequency forecasting experiment

Salisu, Afees A.; Gupta, Rangan; Demirer, Rıza - In: Annals of financial economics 17 (2022) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10013262971

Evaluating Probability Forecasts for GDP Declines Using Alternative Methodologies

Lahiri, Kajal; Wang, Jiazhuo George - 2019

Evaluation methodologies for rare events from meteorology, psychology and medical diagnosis are used to examine the value of probability forecasts of real GDP declines during the current (Q0) and each of the next four quarters (Q1-Q4) using data from the Survey of Professional Forecasters. We...

Persistent link: https://www.econbiz.de/10014167931

Learning and Heterogeneity in GDP and Inflation Forecasts

Lahiri, Kajal; Sheng, Xuguang - 2015

months and even 36 months for some countries. Forecast disagreement arises from two primary sources in our model: differences … parameters, together with two separate case studies on (i) the dynamics of forecast disagreement in the aftermath of the 9 …

Persistent link: https://www.econbiz.de/10014214793

Forecasting with Bayesian vector autoregressions with time variation in the mean

Bańbura, Marta; Vlodrop, Andries van - 2018

area, the United States and Japan. In particular, incorporating survey forecast information helps to reduce the uncertainty …

Persistent link: https://www.econbiz.de/10011809970

Calibrated Forecasting and Merging

Kalai, Ehud; Lehrer, Ehud; Smorodinsky, Rann - 2012

system, a forecaster assigns subjective probabilities to future states. The resulting subjective forecast merges to the … forecast is calibrated if observed long-run empirical distributions coincide with the forecasted probabilities. This paper …

Persistent link: https://www.econbiz.de/10014172017

Using Forecast Evaluation to Improve the Accuracy of the Greenbook Forecast

Arai, Natsuki - 2014

Much research has been concerned with forecast efficiency regressions. Recently, Patton and Timmermann (2012) proposed … a more powerful kind of forecast efficiency regression at multiple horizons, which provides evidence against the … efficiency of the Fed's Greenbook forecasts. I use their forecast efficiency evaluation to propose a method for adjusting the …

Persistent link: https://www.econbiz.de/10014175846

Forecasting with CAPM

Le, Thu - 2016

Capital asset pricing model is a popular formula using to calculate asset prices. This research looks at the sample forecasting of three CAPM constant beta model from 2005 to 2014. This research is going to look at the capabilities of CAPM by using the past varying. Five US sectors, five ASEAN...

Persistent link: https://www.econbiz.de/10012980849

The Anatomy of Out-of-Sample Forecasting Accuracy

Borup, Daniel; Goulet Coulombe, Philippe; Rapach, David E. - 2022

We develop metrics based on Shapley values for interpreting time-series forecasting models, including “black-box” models from machine learning. Our metrics are model agnostic, so that they are applicable to any model (linear or nonlinear, parametric or nonparametric). Two of the metrics,...

Persistent link: https://www.econbiz.de/10014238433

What do professional forecasters actually predict?

Nibbering, Didier; Paap, Richard; Wel, Michel van der - 2015

In this paper we study what professional forecasters actually explain. We use spectral analysis and state space modeling to decompose economic time series into a trend, a business-cycle, and an irregular component. To examine which components are captured by professional forecasters we regress...

Persistent link: https://www.econbiz.de/10011305773

Dissecting models' forecasting performance

Siliverstovs, Boriss - 2015

approach is based on combination of the Cumulated Sum of Squared Forecast Error Differential (CSSFED) suggested earlier in …

Persistent link: https://www.econbiz.de/10011382631