摘要:

AbstractThis paper estimates the ARIMA processes for the observed and expected price level corresponding to the three‐level adaptive expectations model proposed by Jacobs and Jones (1980). These univariate processes are then compared with the best‐fit ARIMA model. The results indicate that the best‐fit model for the observed price level is a restricted version of the two‐level adaptive learning process specified in terms of prices, suggesting a simple adaptive rule in the inflation rate. A comparison of the time‐series forecasts from the best‐fit model with the mean responses to the ASA‐NBER survey shows no significant difference in their accuracy. The time‐series forecasts are, however, conditionally efficient. The best‐fit ARIMA model for expected prices measured by the ASA‐NBER consensus forecasts does not correspond to any version of the Jac

ISSN:0277-6693    

DOI:10.1002/for.3980110602

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractThe purpose of this paper is to simultaneously investigate several important issues that feature the dynamic and stochastic behavior of beta coefficients for individual stocks and affect the forecasting of stock returns. The issues include randomness, nonstantionarity, and shifts in the mean and variance parameters of the beta coefficient, and are addressed within the framework of variable‐mean‐response (VMR) random coefficients models in which the problem of heteroscedasticity is present. Estimation is done using a four‐step generalized least squares method. The hypotheses concerning randomness and nonstationarity of betas are tested. The time paths, sizes, and marginal rates of mean shifts are determined. The issue of variance shift is examined on the basis of five special tests, calledT*, B, S', GandW.Then the impacts of the dynamic and stochastic instability on the estimation of betas is tested by a nonparametric procedure. Finally, the VMR models' ability of forecasting stock returns is evaluated against the standard capital asset pricing model. The empirical findings shed new light on the continuing debate as to whether the beta coefficient is random and nonstationary and have important implications for modeling and forecasting the measurement of performance and the determination of stock re

ISSN:0277-6693    

DOI:10.1002/for.3980110603

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractThis paper presents a new application of a Kalman filter implementation of exponential smoothing with monitoring for outliers and level shifts. The assumption is that each observation comes from one of three models: steady, outlier, or level shift. This concept was introduced as a multiprocess model by Harrison and Stevens (1976). However, their handling of the models is different. In this paper four different model‐selection criteria are introduced and compared by applying them to data. The new features of the application include the four model‐selection criteria and the estimation of the required parameters by maximum likelih

ISSN:0277-6693    

DOI:10.1002/for.3980110604

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractThis paper derives the best linear unbiased predictor for a one‐way error component model with serial correlation. A transformation derived by Baltagi and Li (1991) is used to show how the forecast can be easily computed from the GLS estimates and residuals. This result is useful for panel data applications which utilize the error component specification and exhibit serial correlation in the remainder disturbance term. Analytical expressions for this predictor are given when the remainder disturbances follow (1) an AR(1) process, (2) an AR(2) process, (3) a special AR(4) process for quarterly data, and (4) an MA(1) proces

ISSN:0277-6693    

DOI:10.1002/for.3980110605

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractThe judgemental revision of sales forecasts is an issue which is receiving increasing attention in the forecasting literature. This paper compares the performance of forecastsafterrevision by managers with that of the forecasts which were accepted by themwithoutrevision. The data set consists of sales forecasting data from an industrial company, spanning six quarterly periods and relating to some 900 individual products. The findings show that, in general, the improvements made by managers bring the forecast errors of revised forecasts more into line with non‐revised forecasts, but the change is often marginal, and the best result is equivalence between revised and non‐revised foreca

ISSN:0277-6693    

DOI:10.1002/for.3980110606

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980110601

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY