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Author | : Mr.Peter F. Christoffersen |
Publisher | : International Monetary Fund |
Total Pages | : 31 |
Release | : 1997-05-01 |
Genre | : Business & Economics |
ISBN | : 1451848137 |
Download Cointegration and Long-Horizon Forecasting Book in PDF, ePub and Kindle
Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. Our results highlight a potentially important deficiency of standard forecast accuracy measures—they fail to value the maintenance of cointegrating relationships among variables—and we suggest alternatives that explicitly do so.
Author | : Peter Christoffersen |
Publisher | : |
Total Pages | : 30 |
Release | : 2006 |
Genre | : |
ISBN | : |
Download Cointegration and Long-Horizon Forecasting Book in PDF, ePub and Kindle
Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard mutivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. Our results highlight a potentially important deficiency of standard forecast accuracy measures-they fail to value the maintenance of cointegrating relationships among variables-and we suggest alternatives tht explicitly do so.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 1928 |
Genre | : |
ISBN | : |
Download Éditions des Cahiers libres Book in PDF, ePub and Kindle
Author | : Yin-Wong Cheung |
Publisher | : |
Total Pages | : 66 |
Release | : 1997 |
Genre | : Foreign exchange rates |
ISBN | : |
Download Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models Book in PDF, ePub and Kindle
Exchange rate forecasts are generated using some popular monetary models of exchange rates in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following requirements: the forecast and the actual series i) have the same order of integration, ii) are cointegrated, and iii) have a cointegrating vector consistent with long run unitary elasticity of expectations. When these conditions hold, we consider the forecasts to be consistent.' We find that it is fairly easy for the generated forecasts to pass the first requirement. However, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead horizon, most series and their respective forecasts do not appear cointegrated. Of the cointegrated pairs, the restriction of unitary elasticity of forecasts with respect to actual appears not to be rejected in general. The exception to this pattern is in the case of the error correction models in the longer subsample. Using the Horvath-Watson procedure, which imposes a unitary coefficient restriction, we find fewer instances of consistency, but a relatively higher proportion of the identified cases of consistency are found at the longer horizons.
Author | : Halbert White |
Publisher | : Oxford University Press, USA |
Total Pages | : 512 |
Release | : 1999 |
Genre | : Business & Economics |
ISBN | : 9780198296836 |
Download Cointegration, Causality, and Forecasting Book in PDF, ePub and Kindle
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Author | : Michael P. Clements |
Publisher | : Oxford University Press |
Total Pages | : 732 |
Release | : 2011-06-29 |
Genre | : Business & Economics |
ISBN | : 0199875510 |
Download The Oxford Handbook of Economic Forecasting Book in PDF, ePub and Kindle
This Handbook provides up-to-date coverage of both new and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and provide authoritative yet accessible accounts of the key concepts, subject matter, and techniques in a number of diverse but related areas. It covers the ways in which the availability of ever more plentiful data and computational power have been used in forecasting, in terms of the frequency of observations, the number of variables, and the use of multiple data vintages. Greater data availability has been coupled with developments in statistical theory and economic analysis to allow more elaborate and complicated models to be entertained; the volume provides explanations and critiques of these developments. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models, as well as models for handling data observed at mixed frequencies, high-frequency data, multiple data vintages, methods for forecasting when there are structural breaks, and how breaks might be forecast. Also covered are areas which are less commonly associated with economic forecasting, such as climate change, health economics, long-horizon growth forecasting, and political elections. Econometric forecasting has important contributions to make in these areas along with how their developments inform the mainstream.
Author | : Michael Clements |
Publisher | : Cambridge University Press |
Total Pages | : 402 |
Release | : 1998-10-08 |
Genre | : Business & Economics |
ISBN | : 9780521634809 |
Download Forecasting Economic Time Series Book in PDF, ePub and Kindle
This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.
Author | : David E. Rapach |
Publisher | : Emerald Group Publishing |
Total Pages | : 691 |
Release | : 2008-02-29 |
Genre | : Business & Economics |
ISBN | : 044452942X |
Download Forecasting in the Presence of Structural Breaks and Model Uncertainty Book in PDF, ePub and Kindle
Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Author | : Francis X. Diebold |
Publisher | : South-Western Pub |
Total Pages | : 366 |
Release | : 2007 |
Genre | : Business & Economics |
ISBN | : 9780324359046 |
Download Elements of Forecasting Book in PDF, ePub and Kindle
ELEMENTARY FORECASTING focuses on the core techniques of widest applicability. The author illustrates all methods with detailed real-world applications, many of them international in flavor, designed to mimic typical forecasting situations.
Author | : Clinton A Greene |
Publisher | : |
Total Pages | : 0 |
Release | : 2011 |
Genre | : |
ISBN | : |
Download The Remarkable Long-Run Conditional Predictability of US Real M1 Book in PDF, ePub and Kindle
This paper presents a useful approach to modeling US M1. Given the many failures in money modeling, the case for a meaningful relationship is made by forcing the model down two paths most fear to tread. First, a static cointegrating model is used to forecast over horizons well past the terminal estimation date, conditional on known non-M1 variables. Here "long horizon" is well over five years and as much as 25 years. In this long-horizon exercise the model tracks actual M1 remarkably well. Second, in shorter-run forecasts the cointegrating relationship is not folded into a dynamic error-correction form. Instead, the static model is forced to stand on its own when compared to a dynamic pure time series model. Here the static cointegration model forecasts with a smaller RMSE at a horizon of only six quarters. The model employs money and income scaled per household. There are three theoretical reasons for doing so. Scaling is necessary (a priori) to avoid inducing instability, miss-timing and trivial "self-cointegration". The cointegration model can be re-arranged to treat the price-level as a function of nominal money per household, real GDP per household, and an interest rate.