Total de visitas: 21899

Finance and Economics Discussion Series : Averaging Forecasts from Vars with Uncertain Instabilities download

Finance and Economics Discussion Series : Averaging Forecasts from Vars with Uncertain Instabilities download

Finance and Economics Discussion Series : Averaging Forecasts from Vars with Uncertain Instabilities by Todd E Clark

Finance and Economics Discussion Series : Averaging Forecasts from Vars with Uncertain Instabilities
---------------------------------------------------------------
Author: Todd E Clark
Number of Pages: 38 pages
Published Date: 05 Feb 2013
Publisher: Bibliogov
Publication Country: United States
Language: English
Type: Pdf
ISBN: 9781288708581
File size: 16 Mb
File Name: Finance.and.Economics.Discussion.Series.Averaging.Forecasts.from.Vars.with.Uncertain.Instabilities.pdf
Download Link: Finance and Economics Discussion Series Averaging Forecasts from Vars with Uncertain Instabilities
---------------------------------------------------------------


A body of recent work suggests commonly-used VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. These methods include using different approaches to lag selection, different observation windows for estimation, (over-) differencing, intercept correction, stochastically time-varying parameters, break dating, discounted least squares, Bayesian shrinkage, and detrending of inflation and interest rates. Although each individual method could be useful, the uncertainty inherent in any single representation of instability could mean that combining forecasts from the entire range of VAR estimates will further improve forecast accuracy. Focusing on models of U.S. output, prices, and interest rates, this paper examines the effectiveness of combination in improving VAR forecasts made with real-time data. The combinations include simple averages, medians, trimmed means, and a number of weighted combinations, based on: Bates-Granger regressions, factor model estimates, regressions involving forecast quartiles, Bayesian model averaging, and predictive least squares-based weighting. Our goal is to identify those approaches that, in real time, yield the most accurate forecasts of these variables. We use forecasts from simple univariate time series models as benchmarks.

Read online Finance and Economics Discussion Series : Averaging Forecasts from Vars with Uncertain Instabilities Buy and read online Finance and Economics Discussion Series : Averaging Forecasts from Vars with Uncertain Instabilities Download Finance and Economics Discussion Series : Averaging Forecasts from Vars with Uncertain Instabilities ebook, pdf, djvu, epub, mobi, fb2, zip, rar, torrent Download to iPad/iPhone/iOS, B&N nook Finance and Economics Discussion Series : Averaging Forecasts from Vars with Uncertain Instabilities

Download more files:

Download book Como Hacer Tus Propias Alfombras
Film and Architecture 2005 : Busan Cinema Complex International Invited Competition download torrent
guitar pro 5.2 serial para baixar
Writing Copy For Dummies download torrent
The Presidential Appointee's Handbook download PDF, EPUB, Kindle
corel paintshop photo project creator manual
Download torrent The Personalis, Volume 4
titan quest gold edition cd key chomikuj darmowa