Likelihood Ratio Tests on Cointegrating Vectors, Disequilibrium Adjustment Vectors, and Their Orthogonal Complements PDF Download
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Author: Norman Morin
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 62
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Book Description
Author: Norman Morin
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 62
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Book Description
Author: Norman J. Morin
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 336
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Author: Barry E. Jones
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 56
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Author: Rochelle Mary Edge
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ISBN:
Category : United States
Languages : en
Pages : 54
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Author: Meredith Beechey
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ISBN:
Category : Interest rates
Languages : en
Pages : 46
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Author: Refet S. Gurkaynak
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 66
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Author: Pär Österholm
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 62
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Book Description
Within a decision-making group, such as the monetary-policy committee of a central bank, group members often hold differing views about the future of key economic variables. Such differences of opinion can be thought of as reflecting differing sets of judgement. This paper suggests modelling each agent's judgement as one scenario in a macroeconomic model. Each judgement set has a specific dynamic impact on the system, and accordingly, a particular predictive density - or fan chart - associated with it. A weighted linear combination of the predictive densities yields a final predictive density that correctly reflects the uncertainty perceived by the agents generating the forecast. In a model-based environment, this framework allows judgement to be incorporated into fan charts in a formalised manner.
Author: Rochelle M. Edge
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ISBN:
Category :
Languages : en
Pages : 98
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Author: Todd E. Clark
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Category : Business forecasting
Languages : en
Pages : 72
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Motivated by the common finding that linear autoregressive models forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo, and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the unrestricted model is true, but as the sample size grows, the DGP converges to the restricted model. This approach captures the practical reality that the predictive content of variables of interest is often low. We derive MSE-minimizing weights for combining the restricted and unrestricted forecasts. In the Monte Carlo and empirical analysis, we compare the effectiveness of our combination approach against related alternatives, such as Bayesian estimation.
Author: David Reifschneider
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 78
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