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日期精度：到日 6 篇 · 到月 22 篇 · 到年 0 篇
On testing for unit roots and the initial observation
单位根检验与初始观测值
Recent work has highlighted the crucial dependence of the power of existing unit root tests on the deviation of the initial observation from the deterministic component of the series. In practical applications, it is useful to have a test available with power more robust to the initial condition. In this paper, we propose such a procedure based on a data-dependent weighted average of the standard Dickey--Fuller and Elliott--Rothenberg--Stock tests. Simulation of the new…
Analysis of a panel of UK macroeconomic forecasts
英国宏观经济预测面板分析
This paper looks at unobserved components models and examines the implied weighting patterns for signal extraction. There are four main themes. The first concerns the implications of correlated disturbances driving the components, especially those cases in which the correlation is perfect. The second is about the way in which ARIMA-based methods for trend extraction relate to those based on unobserved components. The third explores the impact of heteroscedasticity and…
Tests for Forecast Encompassing
预测涵盖检验
The authors consider the situation in which two forecasts of the same variable are available. The possibility exists of forming a combined forecast as a weighted average of the individual ones and estimation the weights that should be optimally attached to each forecast. If the entire weight should optimally be associated with one forecast, that forecast is said to encompass the other. A natural test for forecast encompassing is based on least squares regression. The authors…