摘要:

AbstractThere are two basic approaches used in the comparative evaluation of forecasters: (1) Statistical tests of significance of differences in error measures, (2) Ordinal rankings of forecasters. To use the first approach of statistical tests, the forecast error data must satisfy the assumptions underlying those tests. This paper examines the validity of those assumptions by enquiring into the small sample properties of the forecast error data of quarterly forecasts of the U.S. economy.

ISSN:0277-6693    

DOI:10.1002/for.3980060302

出版商:John Wiley&Sons, Ltd.    

年代:1987

数据来源: WILEY

摘要:

AbstractComparative studies of Gauss‐Seidel and Newton‐type algorithms for solving large sparse systems of equations are reported by Népomiastchy and Ravelli (1978), Gabayet al.(1980) and Normanet al.(1983). The first two favour Newton's method, the third favours Gauss‐Seidel. Apart from working on different test models, their setups differ in the implementation of both schemes.This paper studies the performance of both methods on ten different econometric models of varying size and complexity. First the choice of implementation (equation reordering, updating rules for Newton's Jacobian) is studied on a relatively small model. Qualitative and quantitative feedback criteria are considered, and an efficient reordering algorithm is discussed. On the ten models considered, the selected Newton method is almost uniformly cheaper, generally reducing the number of iterations by more than 30 percent A final section draws attention to the possible extra gains of Newton's method in evaluating multipliers for policy an

ISSN:0277-6693    

DOI:10.1002/for.3980060303

出版商:John Wiley&Sons, Ltd.    

年代:1987

数据来源: WILEY

摘要:

AbstractThis paper deals with estimation problems in the context of singular systems of equations. It provides the necessary and sufficient conditions for the existence of restricted estimators as a routine extension of the standard theory of restricted least squares estimation. The paper also provides the means for carrying out tests of hypotheses on subsets of restrictions imposed on the system by explicitly providing an expression for the (appropriate) Lagrange multipliers.

ISSN:0277-6693    

DOI:10.1002/for.3980060304

出版商:John Wiley&Sons, Ltd.    

年代:1987

数据来源: WILEY

摘要:

AbstractRecent studies have shown that composite forecasting produces superior forecasts when compared to individual forecasts. This paper extends the existing literature by employing linear constraints and robust regression techniques in composite model building. Security analysts forecasts may be improved when combined with time series forecasts for a diversified sample of 261 firms with a 1980‐1982 post‐sample estimation period. The mean square error of analyst forecasts may be reduced by combining analyst and univariate time series model forecasts in constrained and unconstrained ordinary least squares regression models. These reductions are very interesting when one finds that the univariate time series model forecasts do not substantially deviate from those produced by ARIMA (0,1,1) processes. Moreover, security analysts' forecast errors may be significantly reduced when constrained and unconstrained robust regression analyses are emplo

ISSN:0277-6693    

DOI:10.1002/for.3980060305

出版商:John Wiley&Sons, Ltd.    

年代:1987

数据来源: WILEY

摘要:

AbstractIn attempting to improve forecasting, many facets of the forecasting process may be addressed including techniques, psychological factors, and organizational factors. This research examines whether a robust psychological bias (anchoring and adjustment) can be observed in a set of organizationally‐produced forecasts. Rather than a simple consistent bias, biases were found to vary across organizations and items being forecast. Such bias patterns suggest that organizational factors may be important in determining the biases found in organizationally‐produced foreca

ISSN:0277-6693    

DOI:10.1002/for.3980060306

出版商:John Wiley&Sons, Ltd.    

年代:1987

数据来源: WILEY

摘要:

AbstractEffect of an intervention on a road fatality time series is studied using (i) the usual intervention analysis of Box and Tiao (1975), and (ii) CUSUM charts for the one‐step‐ahead forecast errors. It is shown that the seat belt and speed limit legislations of the Ontario Government had some impact in bringing down the road toll le

ISSN:0277-6693    

DOI:10.1002/for.3980060307

出版商:John Wiley&Sons, Ltd.    

年代:1987

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980060301

出版商:John Wiley&Sons, Ltd.    

年代:1987

数据来源: WILEY