摘要:

AbstractThis paper considers the consequences of the stochastic error process in large non‐linear forecasting models. As such models are non‐linear, the deterministic forecast is neither the mean nor the mode of the density function of the endogenous variables. Under a specific assumption as to the class of the non‐linearity it is shown that the deterministic forecast is actually the vector of marginal medians of the density function. Stochastic simulation techniques are then used to test whether one large forecasting model actually lies within this

ISSN:0277-6693    

DOI:10.1002/for.3980050402

出版商:John Wiley&Sons, Ltd.    

年代:1986

数据来源: WILEY

摘要:

AbstractWe have developed a new test for non‐linearity in time series data in discrete time. A comparative study has been conducted on Subba Rao, Gabr and Hinich's test, Keenan's test, Petruccelli and Davies test, and the new test. Both simulated and real data are used in the study. The implication for forecasting is briefly discusse

ISSN:0277-6693    

DOI:10.1002/for.3980050403

出版商:John Wiley&Sons, Ltd.    

年代:1986

数据来源: WILEY

摘要:

AbstractThis paper examines the effects of combining three econometric and three times‐series forecasts of growth and inflation in the U.K. If forecasts are unbiased then a combination exploiting this fact will be more efficient than an unrestricted combination.Ex posteconometric forecasts may be biased butex antethey are unbiased. The results of the study are that a restricted linear combination of the econometric forecasts is superior to an unrestricted combination and also to the unweighted mean of the forecasts. However, it is not preferred to the best of the individual forecast

ISSN:0277-6693    

DOI:10.1002/for.3980050404

出版商:John Wiley&Sons, Ltd.    

年代:1986

数据来源: WILEY

摘要:

AbstractThe standard approach to combiningnexpert forecasts involves taking a weighted average. Granger and Ramanathan proposed introducing an intercept term and unnormalized weights. This paper deduces their proposal from Bayesian principles. We find that their formula is equivalent to taking a weighted average of thenexpert forecasts plus the decision‐maker's prior forecas

ISSN:0277-6693    

DOI:10.1002/for.3980050405

出版商:John Wiley&Sons, Ltd.    

年代:1986

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980050406

出版商:John Wiley&Sons, Ltd.    

年代:1986

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980050401

出版商:John Wiley&Sons, Ltd.    

年代:1986

数据来源: WILEY