Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Forecasting in Presence of Structural Breaks written by Joeata Kacou and published by . This book was released on 2009 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting an Aggregate in the Presence of Structural Breaks in the Disaggregates written by William D. Larson and published by . This book was released on 2014 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a debate in the literature on the best method to forecast an aggregate: (1) forecast the aggregate directly, (2) forecast the disaggregates and then aggregate, or (3) forecast the aggregate using disaggregate information. This paper contributes to this debate by suggesting that in the presence of moderate-sized structural breaks in the disaggregates, approach (2) is preferred because of the low power to detect mean shifts in the disaggregates using models of aggregates. In support of this approach are two exercises. First, a simple Monte Carlo study demonstrates theoretical forecasting improvements. Second, empirical evidence is given using pseudo-ex ante forecasts of aggregate proven oil reserves in the United States.
Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 700 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Contribution of Structural Break Models to Forecasting Macroeconomic Series written by Luc Bauwens and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the model which applies in each regime and the out-of-sample probability of a break occurring. In an extensive empirical evaluation involving many important macroeconomic time series, we demonstrate the presence of structural breaks and their importance for forecasting in the vast majority of cases. We find no single forecasting model consistently works best in the presence of structural breaks. In many cases, the formal modeling of the break process is important in achieving good forecast performance. However, there are also many cases where simple, rolling window based forecasts perform well.
Download or read book Forecast based Model Selection in the Presence of Structural Breaks written by Todd E. Clark and published by . This book was released on 2002 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting in the Presence of Structural Breaks and Policy Regime Shifts written by David F. Hendry and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Forecasts in the Presence of Discrete Structural Breaks Under Long Memory written by Mwasi Paza Mboya and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when long-range dependence is taken into account. Using Monte Carlo simulations, we confirm that our methods substantially improve the forecasting performance under long memory. We further present an empirical application to in inflation rates that emphasizes the importance of our methods.
Download or read book Economic Structural Change written by Peter Hackl and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".
Download or read book Essays on Structural Breaks and Forecasting in Econometric Models written by Yaein Baek and published by . This book was released on 2019 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Instability of parametric models is a common problem in many fields of economics. In econometrics, these changes in the underlying data generating process are referred to as structural breaks. Although there is an extensive literature on estimation and statistical tests of structural breaks, existing methods fail to adequately capture a break. This dissertation consists of three papers on developing econometric methods for structural breaks and forecasting. The first chapter develops a new method in estimating the location of a structural break in a linear model and provide theoretical results and empirical applications of the estimator. In finite sample the conventional least-squares estimates a break occurred at either ends of the sample with high probability, regardless of the true break point. I suggest an estimator of the break point that resolves this pile up issue and thus, provide a more accurate estimate of the break. The second chapter constructs a statistical test to test existence of a structural break when the direction of the parameter shift is known. In practice it is likely that a researcher is interested in testing for a structural break in a particular direction because the direction is known, such as policy change or historical data. We incorporate this information in constructing three tests that have higher power when direction is correctly specified. The last chapter proposes a multi-period forecasting method that is robust to model misspecification. When we are interested in obtaining long horizon ahead forecasts, the direct forecast method is more favorable than the iterated forecast because it is more robust to misspecification. However, direct forecast estimates tend to have jagged shapes across horizons. I use a mechanism analogous to ridge regression on the direct forecast model to maintain robustness while smoothing out erratic estimates.
Download or read book Optimal Forecasts in the Presence of Structural Breaks written by Kamiar Mohaddes and published by . This book was released on 2011 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Analysis of the Real Interest Rate Under Regime Shifts written by René Garcia and published by Montréal : CIRANO. This book was released on 1994 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Outlines and Highlights for Forecasting in the Presence of Structural Breaks and Model Uncertainty written by Cram101 Textbook Reviews and published by Academic Internet Pub Incorporated. This book was released on 2011-05-01 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Never HIGHLIGHT a Book Again! Virtually all of the testable terms, concepts, persons, places, and events from the textbook are included. Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9780444529428 .
Download or read book Predicting a Recession written by Marcelle Chauvet and published by . This book was released on 2001 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Under Structural Breaks Using Improved Weighted Estimation written by Tae-hwy Lee and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book New Findings on Forecasting Under Structural Breaks written by Yongli Wang and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Time Series Subject to Multiple Structural Breaks written by M. Hashem Pesaran and published by . This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking account of the size and duration of past breaks (if any) by means of a hierarchical hidden Markov chain model. Predictions are formed by integrating over the hyper parameters from the meta distributions that characterize the stochastic break point process. In an application to US Treasury bill rates, we find that the method leads to better out-of-sample forecasts than alternative methods that ignore breaks, particularly at long horizons"--Forschungsinstitut zur Zukunft der Arbeit web site.
