摘要:

AbstractWe have evaluated the Commerce Department's Composite Index of Leading Indicators as a predictor of business cycle turning points using the two‐state Markov switching model as the filter. Contrary to some recent studies, we found that the predictive performance of CLI is quite good and, with an exception of the 1973:11 peak, it made very little difference to the prediction of turning points whether real‐time data are used instead of the revised series. We found, however, that imposing any degree of autoregression in the errors on the simple regime‐shift model caused the filter to signal turning points inappropriately. Also, we found no evidence of duration dependence in post‐war U.S. business

ISSN:0277-6693    

DOI:10.1002/for.3980130302

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

摘要:

AbstractContinuous time versions of time varying Vector Autoregressions are stochastic differential equations. Optimal discretization of Stochastic Differential Equations cannot be obtained by replacing all differentials by the corresponding first differences. In this paper we obtain the optimal discretization for time varying VARS. The results are applied to predicting the consumer price index.

ISSN:0277-6693    

DOI:10.1002/for.3980130303

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

摘要:

AbstractWe analyse the forecasting attributes of trenc and diffence‐stationary representations of the U.S. macroeconomic time series sudied by Nelson and Plosser (1982). Predictive densities based on models estimated for these series (which terminate in 1970) are compared with subsequent realizations compiled by Schotman and van Dijk (1991) which terminate in (1988). Predictive densities obtained using the, extended series are also derived to assess the impact of the subsequent realization on long‐range forecasts. Of particular interest are comparisons of the average intervals of predictive densities corresponding to the competing specifications In general, we find that coverage intervals based on diference‐stationary specifications are far wider than those based or. trend‐stationary specifications for the real series, and slightly wider for the nominal series. This additional width is often a virtue in forecasting nuninal series over the 1971‐1988 period, as the inflation experienced durnig this time was unprecedented in the 1900s. However, the evolution of the real series has been relatively stable in the 1900s, hence the uncertainty associated with difference‐stationary specifications generally seems excessive for

ISSN:0277-6693    

DOI:10.1002/for.3980130304

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

摘要:

AbstractA smart, automated forecasting system is a kind of expert system for generating forecasts wholly or partly without human intervention. A pilot‐scale system is reported in this paper. The interventions are made by a rulebase which describes the actual intervention procedures of the London Business School Centre for Economic Forecasting on one of the major macroeconometric forecasting models for the U.K. economy. The rulebase is sufficiently general as to be applicable to any forecasting model. One difference of the pilot model reported in this paper from conventional models is that policy behaviour is described entirely by rules rather than equations. This allows the use of thresholds, floors, ceilings, and discontinuitie

ISSN:0277-6693    

DOI:10.1002/for.3980130305

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

摘要:

AbstractIn this paper a high‐quality disaggregate database is utilized to examine whether individual forecasters produce efficient exchange rate predictions and also if the properties of the forecasts change when they are combined. The paper links a number of themes in the exchange rate literature and examines various methods of forecast combination. It is demonstrated,inter alia, that some forecasters are better than others, but that most are not as good as a naive no‐change prediction. Combining forecasts adds to the accuracy of the predictions, but the gains mainly reflect the removal of systematic and unstable b

ISSN:0277-6693    

DOI:10.1002/for.3980130306

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980130307

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980130301

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY