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专业预测者不确定性的测量与特征AI 解读

Several statistical issues that arise in the construction and interpretation of measures of uncertainty from forecast surveys that include probability questions are considered, with application to the Bank of England Survey of External Forecasters. Substantial heterogeneity of individual forecasters' uncertainty is found, together with significant persistence in their relative uncertainty, which is a new finding in professional forecast surveys. It is an individual…

经验 SETAR 模型预测表现的蒙特卡洛研究AI 解读

In this paper we investigate the multi-period forecast performance of a number of empirical self-exciting threshold autoregressive (SETAR) models that have been proposed in the literature for modelling exchange rates and GNP, among other variables. We take each of the empirical SETAR models in turn as the DGP to ensure that the 'non-linearity' characterizes the future, and compare the forecast performance of SETAR and linear autoregressive models on a number of quantitative…

将定性调查回答转化为定量预期的方法：澳大利亚制造业应用AI 解读

Abstract This paper analyses and extends alternative procedures for converting qualitative expectations responses to quantitative expectations. A number of conversion procedures is investigated, including the probability model, the time‐varying parameter probability model, and the regression approach. The informational content of the survey expectations is compared with simple time series models. It is found that the expectations models are superior for many series, both in…