摘要:

AbstractThis study investigates possible improvements in medium‐term VAR forecasting of state retail sales and personal income when the two series are co‐integrated and represent an error‐correction system. For each of North Carolina and New York, three regional vector autoregression (VAR) models are specified; an unrestricted two‐equation model consisting of the two state variables, a five‐equation unrestricted model with three national variables added and a Bayesian (BVAR) version of the second model. For each state, the co‐integration and error‐correction relationship of the two state variables is verified and an error‐correction version of each model specified. Twelve successiveex antefive‐year forecasts are then generated for each of the state models. The results show that including an error‐correction mechanism when statistically significant improves medium‐term forecasting a

ISSN:0277-6693    

DOI:10.1002/for.3980110202

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractThe purpose of the paper is to investigate the accuracy of forecasts derived from univariate and multivariate time‐series models. An iterative method to adjust for impact assessment in univariate ARIMA models is discussed and illustrated for the German unemployment rate. Finally, we also examine the pros and cons of the impact assessment model in comparison with VAR model

ISSN:0277-6693    

DOI:10.1002/for.3980110203

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractThe stochastic properties of conventionally denned federal expenditures and revenues are examined, and cointegration is found. Alternative time‐series models‐univariate ARIMA models, vector autoregressions in levels and differences, and an error correction model‐are specified and estimated using quarterly data from 1955:1 through 1979:4. Updated forecasts for up to three years beyond the sample period are evaluated against actual expenditures, revenues and the deficit. The vector autoregression in levels shows evidence of nonstationarity, which leads to strong biases in the forecasts. The remaining models produce forecasts that are satisfactory by the mean squared error criterion, and the magnitudes of biases at the longer horizons are significantly smaller than those of the official fore

ISSN:0277-6693    

DOI:10.1002/for.3980110204

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractThe theory of quasi‐rational expectations was tested under the controlled conditions of the economics laboratory. Five experiments were conducted with a variety of stochastic processes. In each experiment, subjects produced one‐step‐ahead forecasts of the variable generated by a Monte Carlo process. Comparisons of the performance of an aggregate of subjects' forecasts versus an ARIMA model showed that for relatively simple series (such as those generated by autoregressive processes of first or second order) the aggregate forecast was indistinguishable from that of the model. These results lend support to the theory that forecasts from an ARIMA model can serve as substitutes for aggregate expectations in macroeconomic policy models under some condi

ISSN:0277-6693    

DOI:10.1002/for.3980110205

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractThe use of expert judgement is an important part of demographic forecasting. However, because judgement enters into the forecasting process in an informal way, it has been very difficult to assess its role relative to the analysis of past data. The use of targets in demographic forecasts permits us to embed the subjective forecasting process into a simple time‐series regression model, in which expert judgement is incorporated via mixed estimation. The strength of expert judgement is denned, and estimated using the official forecasts of cause‐specific mortality in the United States. We show that the weight given to judgement varies in an improbable manner by age. Overall, the weight given to judgement appears too high. An alternative approach to combining expert judgement and past data is sugges

ISSN:0277-6693    

DOI:10.1002/for.3980110206

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractThis paper uses the track records of a panel of US economic forecasters participating in a consensus forecasting service to test for conservatism and consensus‐seeking behaviour. The tests are based on a particular method‐of‐moments estimator, designed to allow for the heteroscedasticity and serial correlation which is inevitably present in errors from repeated forecasts for fixed target dates. Most forecasters prove to be conservative. When revising forecasts they give too much weight to their own past forecasts. Surprisingly, forecasters are not consensus‐seeking but ‘variety‐seeking’. When revising forecasts, they give too little weight to the known forecasts of othe

ISSN:0277-6693    

DOI:10.1002/for.3980110207

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980110201

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY