摘要:

AbstractThis article introduces new leading indicators for fifteen industrialized countries which enable the business cycle in manufacturing to be forecast fairly reliably between 4 and 6 months ahead. These indicators are based on an improved variant of the NBER method, yielding a composite leading indicator characterized by less erratic movements and clear turning points. The indicators are used to explore the international interdependence of business cycles and to examine the degree to which this interdependence is affected by growing economic integration, as in the EC. For each of the countries studied, the various foreign economies affecting the local business climate are identified. Since the business cycles of some countries clearly lead those of others, this international interdependence can be used to further improve the predictive power of the leading indicators in the lagging countries.

ISSN:0277-6693    

DOI:10.1002/for.3980140102

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractThis paper examines how a Bayesian decision maker might update her distributions for continuous variablesXi, i=1, 2, …, upon hearing experts' forecasts expressed as quantiles. To utilize the relationship between the decision maker and experts, and to avoid problems associated with different scales and ranges of the variables, we assume that the decision maker transforms the experts' quantiles in terms of her own prior distribution for eachXi.A model using such a transformation is presented and its properties are examine

ISSN:0277-6693    

DOI:10.1002/for.3980140103

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractThe most reliable component of a time series, for forecasting purposes, is the shape of the long‐term trend. However, the presence of cycles makes it difficult to identify and predict the changes in such trends. While up to now emphasis has been given in identifying and measuring cyclical behaviour, this paper presents a technique that aims at removing cyclical effects from the long‐term trends. This technique is based on a transformation that is successively applied on the original time series. Each time the transformation is applied, an observation is selected and replaced by the average of its adjacent observations. This results in the elimination of the cyclical component. Independently of their depth, the cycles are being removed in ascending order relatively to their length. This leads to 'brushing off' the long‐term trends from any cyclical effects. A specialized software has been developed in Pascal. The proposed technique was applied in a set of time series from the M2‐ and M‐competition and the results are presented in t

ISSN:0277-6693    

DOI:10.1002/for.3980140104

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractWe propose a model for time series with a general marginal distribution given by the Johnson family of distributions. We investigate for which Johnson distributions forecasting using the model is likely to be most effective compared to using a linear model. Monte Carlo simulation is used to assess the reliability of methods for determining which of the three Johnson forms is most appropriate for a given series. Finally, we give model fitting and forecasting results using the modeling procedure on a selection of simulated and real time series.

ISSN:0277-6693    

DOI:10.1002/for.3980140105

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractClements and Hendry (1993) proposed the Generalized Forecast Error Second Moment (GFESM) as an improvement to the Mean Square Error in comparing forecasting performance across data series. They based their conclusion on the fact that rankings based on GFESM remain unaltered if the series are linearly transformed. In this paper, we argue that this evaluation ignores other important criteria. Also, their conclusions were illustrated by a simulation study whose relationship to real data was not obvious. Thirdly, prior empirical studies show that the mean square error is an inappropriate measure to serve as a basis for comparison. This undermines the claims made for the GFESM.

ISSN:0277-6693    

DOI:10.1002/for.3980140106

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980140107

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980140101

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY