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Author: 武亮
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 306
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Author: 武亮
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 306
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Book Description
Author: Scott T. Murdoch
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages :
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Author: Jason J. Wu
Publisher:
ISBN:
Category :
Languages : en
Pages : 168
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Author: John Brode
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Dong Yan
Publisher:
ISBN:
Category :
Languages : en
Pages : 156
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In the first chapter, Monte Carlo simulation and bootstrap methods are used to compare the actual and nominal coverage probabilities of prediction intervals constructed using the Prais-Winsten modified weighted symmetric least squares (PW-MWSLS) estimation method. The evidence suggests that the PW-MWSLS estimator, the best point predictor, for the linear trend model with first-order autoregressive errors also leads to prediction intervals with the most accurate coverage rates for the linear trend model with first-order autoregressive errors. The second chapter employs an innovative methodology to construct inflation expectations by incorporating information in the commodity futures market. The empirical results from the vector dynamic system show that the constructed expected rate of inflation series provides the best in-sample and out-of-sample forecasts over the sample period under investigation. Chapter three applies the constructed time series of inflation expectations in the second chapter to examine two broadly debated topics in the field of economics, the Fisher effect and the Phillips curve. The findings provide support for the existence of the short-run Fisher effect; and for the examination of the two main alternative specifications of the Phillips curve, the New Keynesian Phillips curve and the expectations-augmented Phillips curve, the empirical evidence is in favor of the former.
Author: Pauline Kennedy
Publisher:
ISBN:
Category : Financial crises
Languages : en
Pages : 256
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Author: Hui Zhu
Publisher:
ISBN:
Category :
Languages : en
Pages : 226
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Forecasting firms' earnings has long been an interest of market participants and academics. Traditional forecasting studies in a multivariate time series setting do not take into account that the timing of market data release for a specific time period of observation is often spread over several days or weeks. This thesis focuses on the separation of announcement timing or data release and the use of econometric real-time methods, which we refer to as an updated vector autoregression (VAR) forecast, to predict data that have yet to be released. In comparison to standard time series forecasting, we show that the updated forecasts will be more accurate the higher the correlation coefficients among the standard VAR innovations are. Forecasting with the sequential release of information has not been studied in the VAR framework, and our approach to U.S. nonfarm payroll employment and the six Canadian banks shows its value. By using the updated VAR forecast, we conclude that there are relative efficiency gains in the one-step-ahead forecast compared to the ordinary VAR forecast, and compared to professional consensus forecasts. Thought experiments emphasize that the release ordering is crucial in determining forecast accuracy.
Author: Weifeng Weng
Publisher:
ISBN:
Category :
Languages : en
Pages : 286
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Author: Yu Guo
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Avuthu Rami Reddy
Publisher:
ISBN:
Category :
Languages : en
Pages : 332
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