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ROC 与同步性度量的统一联系AI 解读

Judging the conformity of binary events in macroeconomics and finance has often been done with indices that measure synchronization. In recent years, the use of Receiver Operating Characteristic (ROC) curve has become popular for this task. This article shows that the ROC and synchronization approaches are closely related, and each can be derived from a decision-making framework. Furthermore, the resulting global measures of the degree of conformity can be identified and…

组合预测方差的估计：基于 Bootstrap 的方法AI 解读

This paper considers bootstrap inference in model averaging for predictive regressions. We first show that the standard pairwise bootstrap is not valid in the context of model averaging. This common bootstrap approach induces a bias-related term in the bootstrap variance of averaging estimators. We then propose and justify a fixed-design residual-based bootstrap resampling approach for model averaging. In a local asymptotic framework, we show the validity of the bootstrap in…

序列相关数据下 ROC 曲线的置信带AI 解读

We propose serial correlation-robust asymptotic confidence bands for the receiver operating characteristic (ROC) curve and its functional, viz., the area under ROC curve (AUC), estimated by quasi-maximum likelihood in the binormal model. Our simulation experiments confirm that this new method performs fairly well in finite samples, and confers an additional measure of robustness to nonnormality. The conventional procedure is found to be markedly undersized in terms of…

消费预测：大量预测变量下消费者信心的实时作用AI 解读

Summary We study the role of consumer confidence in forecasting real personal consumption expenditure, and contribute to the extant literature in three substantive ways. First, we re‐examine existing empirical models of consumption and consumer confidence, not only at the quarterly frequency, but using monthly data as well. Second, we employ real‐time data in addition to commonly used revised vintages. Third, we investigate the role of consumer confidence in a rich…

评论：多预测期固定目标预测的理性AI 解读

I enjoyed reading yet another article by Patton and Timmermann (PT hereafter) and feel that it has broken new ground in testing the rationality of a sequence of multi-horizon fixed-target forecasts...

贝叶斯学习模型中预测分歧的演化AI 解读

We estimate a Bayesian learning model with heterogeneity aimed at explaining expert forecast disagreement and its evolution over horizons. Disagreement is postulated to have three components due to differences in: (i) the initial prior beliefs, (ii) the weights attached on priors, and (iii) interpreting public information. The fixed-target, multi-horizon, cross-country feature of the panel data allows us to estimate the relative importance of each component precisely. The…

利用密度预测面板建模多期通胀不确定性AI 解读

Abstract This paper examines the determinants of inflation forecast uncertainty using a panel of density forecasts from the Survey of Professional Forecasters (SPF). Based on a dynamic heterogeneous panel data model, we find that the persistence in forecast uncertainty is much less than what the aggregate time series data would suggest. In addition, the strong link between past forecast errors and current forecast uncertainty, as often noted in the ARCH literature, is…

预测者多快吸收新信息？跨国调查证据AI 解读

Abstract Using forecasts from Consensus Economics Inc., we provide evidence on the efficiency of real GDP growth forecasts by testing whether forecast revisions are uncorrelated. As the forecast data used are multi‐dimensional—18 countries, 24 monthly forecasts for the current and the following year and 16 target years—the panel estimation takes into account the complex structure of the variance–covariance matrix due to propagation of shocks across countries and economic…

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利用 NAPM 数据比较定性调查回答的不同量化方法AI 解读

This article examines the effectiveness of a subjective probability approach to quantify three-category qualitative responses from expectations surveys. Since one cannot make a judgment on the validity of estimated expectations by comparing them with ex post outcomes, the authors use the National Association of Purchasing Managers survey data on materials buying prices and compare them with the Producer Price Index for intermediate materials and components for manufacturing.…

城市人口密度梯度的估计与解释AI 解读

The negative-exponential varying-parameter, density-gradient model is generalized by introducing the Box–Cox transformation in conjunction with truncated and heteroscedastic errors. An interpretation of this density-gradient model is presented, based directly on the magnitude and response of the expected value of population density to changes in the model's conditioning variables. Previous studies interpreted the gradient parameters purely as descriptive statistics of…

事前实际利率模型及其导出的通胀预测AI 解读

A methodology for estimating expected real interest rates and making inflation forecasts, together with appropriate confidence intervals, is presented. The role of price expectations in determining real interest rates is also analyzed. Structural breaks in the process generating real interest rates are detected in 1980 and 1983 by tracking the accuracy of interest-rate forecasts. Analysis of these structural breaks reveals that the break at the beginning of 1983 returns the…

在宏观经济模型中更灵活地使用预期调查数据AI 解读

A flexible procedure is proposed whereby both the random and systematic errors in measurement of survey data on inflation expectations can be appropriately handled when these surveys are used in the estimation of macroeconomic models. During the period 1952–1980, Livingston's two expectations series and the SRC series systematically underestimated inflation expectations by nearly 25%. The ASA–NBER survey, however, does not exhibit such underestimation. Thus, the use of the…

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