摘要:

AbstractThe paper treats the forecasting problem in the context of a demand or supply equation, when the explanatory variablez1= xi′z+ et– the ‘price’ variable – is controlled (exogenous) in the forecast period – Case A; or vice versa – Case B. In either case, at least some parameters need to shift in value from the sample to the forecast period, and the forecasts in general need to use prior information on the forecast period values of such parameters. The paper assumes that shifts occur only πz,V(et), and the reduced‐form parameters involved in the exogeneity restriction. WhenV(et) is the only parameter to shift, neither case calls for any prior information. In other instances, Case A is less demanding than Case B in terms of prior information needs. Among other things, the paper draws attention to the relevance of the distinction between a conditional forecast and a controlled fo

ISSN:0277-6693    

DOI:10.1002/for.3980110102

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractPratt and Schlaifer's (1984, 1988) research employed in efforts to produce laws in economics are considered and their use in predicting future data is described. Data for Australia are used to illustrate the approaches.

ISSN:0277-6693    

DOI:10.1002/for.3980110103

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractThis paper explores a Bayesian decision‐theoretic approach for analysis and development of composite leading indicators. The methods used here are derived from work by Zellneret al.(1988) and Zellner and Hong (1988) aimed at forecasts time series turning points, and the multi‐process mixture models first described by Harrison and Stevens (1976) and more recently in West and Harrison (1989). Here, these methods are used to develop composite leading indicators formed by using the posterior probabilities derived from predictive relations between the individual indicator variables and the state of the economy measure as weights. This study, like those of Wecker (1979), Kling (1987) and Diebold and Rudebusch (1989), uses the time series observations on the measure of economic activity which we wish to predict along with an explicit definition of a turning point, either a downturn or upturn. Unlike those studies, we then establish a predictive relation between the individual component indicator series and the variable measuring economic activity which allows a Bayesian computation of probabilities associated with the turning point events. This parallels the developments in Zellneret al.(1988), where the focus was on forecasting turning points in economic times series. These probabilities are conditioned on the past data and the predictive probability density function (pdf) for future observations. A composite indicator is devised using a Class I, multi‐process mixture model suggested in West and Harrision (1989). The composite indicator arising from this approach is an average of the individual component series, where the averaging is done over the posterior probabilities of the individual component series predictive relations. An example of the procedure is provided using the national composite leading indicator

ISSN:0277-6693    

DOI:10.1002/for.3980110104

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractWhen using simple exponential smoothing on a given time series the nature of the relationship between the optimal smoothing constant and the autocorrelation structure of the series remains an unresolved question. Although numerical search routines can easily be used to find optimal values of the smoothing constant, they offer little insight into the nature of the relationship between the estimated smoothing constant and the structure of the underlying time series. We suggest that renewed investigations of theex‐postsum of squares function may prove helpful in this pursuit. Results are presented that illustrate how the optimal smoothing constant depends upon the value used to initialize the smoothing and upon the sample autocorrelation coefficients of the observed series. These results are based on a new formula for the derivative of theex‐postsum of squares function. In particular, the derivative is examined near 0 and 1, where great simplifications occur in its form, thereby facilitating investigations near these points. A necessary and sufficient condition is stated for when theex‐postsum of squares must have a positive derivative at 0 and the autocorrelation coefficients of the differenced series are shown to affect the sign of the derivative near 1. Based on these results, a general algorithm is presented as an alternative to grid search routines for minimizing theex‐postsum of

ISSN:0277-6693    

DOI:10.1002/for.3980110105

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractThe paper is devoted to robust modifications of exponential smoothing for time series with outliers or long‐tailed distributions. Classical exponential smoothing applied to such time series is sensitive to the presence of outliers or long‐tailed distributions and may give inadequate smoothing and forecasting results. First, simple and double exponential smoothing in theL1norm (i.e. based on the least absolute deviations) are discussed in detail. Then, general exponential smoothing is made robust, replacing the least squares approach byM‐estimation in such a way that the recursive character of the final formulas is preserved. The paper gives simple algorithmic procedures which preserve advantageous features of classical exponential smoothing and, in addition, which are less sensitive to outliers. Robust versions are compared numerically with classical

ISSN:0277-6693    

DOI:10.1002/for.3980110106

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

摘要:

AbstractThis paper presents a new method of identifying ARIMA time‐series models. We use the bootstrap technique in estimating the distribution of sample autocorrelations both separately and in a simultaneous inference setting. The bootstrap has the advantage of being nonparametric and thus free of reliance on asymptotic normality, which may not hold for short or medium‐size series. The simultaneous procedure is unique, as it has no feasible parametric alternatives. An application to exchange rates illustrates our methodology. In the example chosen, we are able to produce better forecasts using the model identified via the bootstrap techni

ISSN:0277-6693    

DOI:10.1002/for.3980110107

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980110108

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980110109

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980110110

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980110101

出版商:John Wiley&Sons, Ltd.    

年代:1992

数据来源: WILEY