Evaluating econometric forecasts of economic and financial variables:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Basingstoke [u.a.]
Palgrave Macmillan
2005
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Palgrave texts in econometrics
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012983219&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Includes bibliographical references and index |
| Umfang: | XIII, 173 S. |
| ISBN: | 1403941564 9781403941572 1403941572 |
Internformat
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| 245 | 1 | 0 | |a Evaluating econometric forecasts of economic and financial variables |c Michael P. Clements |
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| 264 | 1 | |a Basingstoke [u.a.] |b Palgrave Macmillan |c 2005 | |
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| 500 | |a Includes bibliographical references and index | ||
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| 650 | 7 | |a Evaluatie |2 gtt | |
| 650 | 7 | |a Prognoses |2 gtt | |
| 650 | 4 | |a Prévision économique - Modèles économétriques - Évaluation | |
| 650 | 4 | |a aEconomic forecasting |a xEconometric models |a xEvaluation | |
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Datensatz im Suchindex
| _version_ | 1819336163821879296 |
|---|---|
| adam_text | CONTENTS
LIST OF TABLES X
LIST OF FIGURES XI
AUTHOR S PREFACE AND ACKNOWLEDGEMENTS XII
1 INTRODUCTION 1
2 POINT FORECASTS 4
2.1 REALIZATION-FORECAST REGRESSIONS 4
2.1.1 TESTING THE RATIONALITY OF MULTI-STEP FORECASTS 7
2.2 FORECAST PRECISION 9
2.3 RIVAL FORECASTS, FORECAST COMBINATION AND
ENCOMPASSING 12
2.3.1 TESTS OF COMPARATIVE FORECAST ACCURACY 12
2.3.2 FORECAST COMBINATION {OR POOLING) AND
ENCOMPASSING 15
2.4 TESTING MODEL-BASED FORECASTS FOR PREDICTIVE ACCURACY 21
2.4.1 TESTS OF PREDICTIVE ACCURACY 21
2.4.2 TESTS OF EQUAL ACCURACY AND ENCOMPASSING
WHEN PARAMETERS ARE ESTIMATED 25
2.5 NON-LINEAR MODELS AND FORECASTING 30
2.5.1 THE CONDITIONAL EXPECTATION IS THE MMSE PREDICTOR 30
2.5.2 MULTI-STEP FORECASTS AND NON-LINEAR MODELS 32
2.5.3 SETAR MODELS AND MULTI-PERIOD FORECASTS 34
2.5.4 MARKOV-SWITCHING MODELS 37
2.5.5 EVALUATING NON-LINEAR MODEL FORECASTS 39
2.6 SUMMARY 45
3 VOLATILITY FORECASTS 46
3.1 INTRODUCTION 46
3.2 CHANGING CONDITIONAL-VARIANCES AND OPTIMAL POINT
FORECASTS 48
3.3 TIME-VARYING CONDITIONAL VARIANCES AND ASYMMETRIC
LOSS 51
3.4 MODELS OF CONDITIONAL VARIANCE 54
3.4.1 ARCH MODELS 54
3.4.2 ESTIMATION 58
VLL
VIII CONTENTS
3.4.3 GARCH MODELS 59
3.4.4 GARCH MODEL FORECASTS 62
3.4.5 IGARCH 63
3.4.6 NON-LINEAR GARCH 64
3.4.7 GARCH AND FORECASTS OF THE CONDITIONAL MEAN 67
3.5 EVALUATION OF VOLATILITY FORECASTS 68
3.6 RECENT DEVELOPMENTS IN THE EVALUATION OF VOLATILITY
FORECASTS 73
3.6.1 REALIZED VOLATILITY 73
3.6.2 INTRADAY RANGE 74
3.6.3 UTILITY-BASED MEASURES AND TRADING RULES 75
3.7 SUMMARY 75
4 INTERVAL FORECASTS 77
4.1 INTRODUCTION 77
4.2 CALCULATING INTERVAL FORECASTS 78
4.2.1 BOOTSTRAP THE FORECASTS 80
4.2.2 ALLOWING ESTIMATION UNCERTAINTY 81
4.2.3 CONDITIONAL INTERVALS AND ESTIMATION UNCERTAINTY 82
4.2.4 BIAS-CORRECTING THE PARAMETER ESTIMATES 82
4.2.5 MONTE CARLO EVALUATION: STEP-BY-STEP GUIDE 83
4.2.6 BOOTSTRAPPING ARCH PROCESSES 85
4.3 DESIRABLE PROPERTIES OF INTERVAL FORECASTS 87
4.4 TESTS FOR CONDITIONAL EFFICIENCY 88
4.4.1 UNBIASEDNESS 88
4.4.2 INDEPENDENCE 89
4.5 REGRESSION-BASED TESTS OF CONDITIONAL EFFICIENCY 91
4.6 INTERVAL FORECAST CONSTRUCTION AND ARCH 92
4.7 EMPIRICAL ILLUSTRATION 94
4.7.1 INTERVAL FORECASTS AND INTRADAILY DATA 94
4.7.2 PROPERTIES OF FUTURES RETURNS DATA 95
4.8 SUMMARY 102
5 DENSITY FORECASTS 103
5.1 INTRODUCTION 103
5.2 PROBABILITY DISTRIBUTION FORECAST EVALUATION 104
5.3 JOINT PROBABILITY DISTRIBUTIONS 106
5.4 CALIBRATION 107
5.5 DENSITY AND INTERVAL FORECASTS 108
5.6 EMPIRICAL ILLUSTRATION (I): THE SPF PROBABILITY
DISTRIBUTIONS 110
CONTENTS IX
5.7 EMPIRICAL ILLUSTRATION (II): THE MPC INFLATION FORECASTS 112
5.7.1 POINT FORECAST PERFORMANCE 113
5.7.2 EVALUATION OF FORECAST DENSITIES 116
5.8 MODEL-BASED DENSITY EVALUATION 117
5.8.1 MODEL MIS-SPECIFICATION 120
5.9 SUMMARY 121
5.10 APPENDIX: MULTIVARIATE FORECAST DENSITY PROBABILITY
INTEGRAL TRANSFORM TESTS 121
6 DECISION-BASED EVALUATION 124
6.1 INTRODUCTION 124
6.2 DECISION-BASED EVALUATION - SOME BASIC RESULTS 126
6.3 QUADRATIC LOSS FUNCTIONS 127
6.4 TWO-STATE, TWO-ACTION DECISION PROBLEMS 129
6.5 DECISION PROBLEM FOR INFLATION-TARGETING AND INTEREST
RATE SETTING 131
6.6 STATISTICAL MEASURES RELATED TO ECONOMIC VALUE 133
6.7 THE BANK OF ENGLAND MPC INFLATION FORECASTS 135
6.8 PROPERTIES OF OPTIMAL FORECASTS FOR GENERAL LOSS
FUNCTIONS 137
6.8.1 GENERAL LOSS FUNCTIONS AND THE GENERALIZED
FORECAST ERROR 140
6.9 SUMMARY 141
7 POSTSCRIPT 143
8 COMPUTER CODE 146
8.1 SAMPLE GAUSS CODE FOR THE ESTIMATION AND FORECASTING OF
SETAR MODELS 146
8.1.1 EXTENSIONS 147
8.2 ESTIMATION AND FORECASTING GARCH(1,1) PROCESSES 150
8.3 MONTE CARLO EVALUATION OF INTERVAL LENGTHS AND
COVERAGES 151
8.3.1 EXTENSIONS 153
8.4 FORECAST DENSITY EVALUATION 154
NOTES , 156
REFERENCES 160
INDEX 170
|
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| id | DE-604.BV019654655 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T12:02:46Z |
| institution | BVB |
| isbn | 1403941564 9781403941572 1403941572 |
| language | English |
| lccn | 2004054893 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-012983219 |
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| physical | XIII, 173 S. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | Palgrave Macmillan |
| record_format | marc |
| series2 | Palgrave texts in econometrics |
| spellingShingle | Clements, Michael P. Evaluating econometric forecasts of economic and financial variables Econometrische modellen gtt Evaluatie gtt Prognoses gtt Prévision économique - Modèles économétriques - Évaluation aEconomic forecasting xEconometric models xEvaluation Ökonometrisches Modell (DE-588)4043212-9 gnd Wirtschaft (DE-588)4066399-1 gnd Prognoseverfahren (DE-588)4358095-6 gnd |
| subject_GND | (DE-588)4043212-9 (DE-588)4066399-1 (DE-588)4358095-6 |
| title | Evaluating econometric forecasts of economic and financial variables |
| title_auth | Evaluating econometric forecasts of economic and financial variables |
| title_exact_search | Evaluating econometric forecasts of economic and financial variables |
| title_full | Evaluating econometric forecasts of economic and financial variables Michael P. Clements |
| title_fullStr | Evaluating econometric forecasts of economic and financial variables Michael P. Clements |
| title_full_unstemmed | Evaluating econometric forecasts of economic and financial variables Michael P. Clements |
| title_short | Evaluating econometric forecasts of economic and financial variables |
| title_sort | evaluating econometric forecasts of economic and financial variables |
| topic | Econometrische modellen gtt Evaluatie gtt Prognoses gtt Prévision économique - Modèles économétriques - Évaluation aEconomic forecasting xEconometric models xEvaluation Ökonometrisches Modell (DE-588)4043212-9 gnd Wirtschaft (DE-588)4066399-1 gnd Prognoseverfahren (DE-588)4358095-6 gnd |
| topic_facet | Econometrische modellen Evaluatie Prognoses Prévision économique - Modèles économétriques - Évaluation aEconomic forecasting xEconometric models xEvaluation Ökonometrisches Modell Wirtschaft Prognoseverfahren |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012983219&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT clementsmichaelp evaluatingeconometricforecastsofeconomicandfinancialvariables |