摘要:

AbstractStarting with conventional tests for weak rationality, we show how additional tests can be performed if predictions with different time horizons are commonly used in them. Next, we show that most of these tests can still be applied if the structure of the economic system changes but only some of them if the true system is unknown. Finally, these tests are applied to the semi‐annual one‐and two‐step predictions of the group of five leading economic research institutes in the Federal Republic of Germany. For the two‐step predictions we find more evidence against the rational expectations hypothesis than for the one‐step pr

ISSN:0277-6693    

DOI:10.1002/for.3980120702

出版商:John Wiley&Sons, Ltd.    

年代:1993

数据来源: WILEY

摘要:

AbstractCombinations of several forecasts are now quite commonly used as inputs into business planning models. For example, capital budgeting generally involves a synthesis of several sources of economic forecasts. In such cases, where uncertainty and risk are also being explicitly considered, the statistical specification of the combined forecasts becomes particularly important. An investigation of the monthly forecasts of annual inflation from nine leading U.K. economic models was undertaken to examine the circumstances under which well‐specified and efficient combined forecasts could be produced. This has helped to refine the general guidelines for the practical use of combinations in planning model

ISSN:0277-6693    

DOI:10.1002/for.3980120703

出版商:John Wiley&Sons, Ltd.    

年代:1993

数据来源: WILEY

摘要:

AbstractA broad class of normal and non‐normal models for processes with non‐negative and non‐decreasing mean function is presented. This class is called exponential growth models and the inferential procedure is based on dynamic Bayesian forecasting techniques. The aim is to produce the analysis on the original variable avoiding transformation and giving to the practitioner the opportunity to communicate easily with the model. This class of models includes the well‐known exponential, logistic and Gompertz models. Models for counting data are compared with the Normal models using the appropriate variance law. In the examples, the novel aspects of this class of models are illustrated showing an improved performance over simple, standard linear

ISSN:0277-6693    

DOI:10.1002/for.3980120704

出版商:John Wiley&Sons, Ltd.    

年代:1993

数据来源: WILEY

摘要:

AbstractIn the Netherlands, as in many other countries, annual fluctuations in net migration are larger than those in births and deaths. As a result, forecasts of net migration are an important source of errors in population forecasts, particularly in the short run. In order to make it possible for the user to judge the usefulness of a population forecast, the forecaster should give an indication of the degree of uncertainty of the forecast of net migration. An ARIMA model can be used for specifying a statistical forecast interval. As the width of forecast intervals for migration in single years differs strongly from that of an interval for average migration during the forecast period, it is important that the forecaster indicates which type of interval is presented. A comparison of forecast intervals for net migration obtained from an ARIMA model to intervals in official Dutch national population forecasts shows that the uncertainty on migration has been underestimated in past official forecasts.

ISSN:0277-6693    

DOI:10.1002/for.3980120705

出版商:John Wiley&Sons, Ltd.    

年代:1993

数据来源: WILEY

摘要:

AbstractThe univariate quarterly Dutch series of industrial production and money stock are both modelled with a periodically integrated subset autoregression (PISA). This model for a non‐stationary series allows the lag orders, the values of the parameters and the cyclical patterns to vary over the seasons. The PISA models are found by applying a general‐to‐simple specification strategy, which deals with non‐stationarity and periodicity simultaneously. It is found that the two series show a common asymmetric cyclical behaviour. This paper further proposes a test for periodicity in the errors, with which it is argued that a non‐periodic model for the industrial production and money stock is misspecified and that seasonal adjustment does not remove periodicity in the autocorrelation

ISSN:0277-6693    

DOI:10.1002/for.3980120706

出版商:John Wiley&Sons, Ltd.    

年代:1993

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980120707

出版商:John Wiley&Sons, Ltd.    

年代:1993

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980120701

出版商:John Wiley&Sons, Ltd.    

年代:1993

数据来源: WILEY