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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…

密度预测评价：预测组合、模型混合、校准与尖锐度AI 解读

This paper reviews current density forecast evaluation procedures, and considers a proposal that such procedures be augmented by an assessment of ‘sharpness’. This was motivated by an example in which some standard evaluation procedures using probability integral transforms cannot distinguish the ideal forecast from several competing forecasts. We show that this example has some unrealistic features from a time series forecasting perspective, and so provides insecure…

协整、长期结构建模与弱外生性：两个英国经济模型AI 解读

Cointegration ideas as introduced by Granger in 1981 are commonly embodied in empirical macroeconomic modelling through the vector error correction model (VECM). It has become common practice in these models to treat some variables as weakly exogenous, resulting in conditional VECMs. This paper studies the consequences of different approaches to weak exogeneity for the dynamic properties of such models, in the context of two models of the UK economy, one a national-economy…

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季节调整滤波器的不可观测成分模型AI 解读

Time series models are presented, for which the seasonal-component estimates delivered by linear least squares signal extraction closely approximate those of the standard option of the widely-used Census X-11 program. Earlier work is extended by consideration of a broader class of models and by examination of asymmetric filters, in addition to the symmetric filter implicit in the adjustment of historical data. Various criteria that guide the specification of unobserved-…

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理性预期假说的计量经济学含义AI 解读

The implications for applied econometrics of the assumption that unobservable expectations formed rationally in Muth's sense examined. The statistical properties of the resulting models and their distributed lag and time series representations described. Purely extrapolative forecasts of endogenous variables can be constructed, as alternatives to rational expectations, but less efficient. Identification and estimation considered: an order condition is that no more…

多重时间序列分析与计量经济模型的最终形式AI 解读

Univariate autoregressive moving average models for the endogenous variables of a dynamic simultaneous equations system can be interpreted as a form of solution of that system. This paper considers the interrelationships between the various representations of the system, and develops joint estimation and model selection procedures for the multiple time series model which arises as a multivariate representation of the individual autoregressive moving average models. A test of…

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季节调整与变量之间的关系AI 解读

This article studies the effect of official seasonal adjustment procedures on the relations between variables. By considering time-invariant linear filters, and in particular a linear approximation to the Census Method II adjustment program, the effect of adjusting one or both of the variables in a distributed lag relation is examined, and the distortions which can arise are described. Applying the actual (nonlinear) adjustment procedure to artificial data indicates that at…

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季度回归方程中四阶自相关的检验AI 解读

A test for fourth order autocorrelation in the error term of a regression equation estimated from quarterly data is described. The development draws on the finite sample results of Durbin and Watson and illustrates how their procedure for the first order case can be generalized. In the model y = X,B + u where X is a matrix of fixed regressors and u, = put-4 + Bt, an appropriate test statistic for Ho: p = 0 is the statistic d4 = {z- )2/z2 computed from the least squares…

IN RECENT years the Durbin-Watson statistic has been used uncritically to test for serial correlation the of relationships containing lagged endogenous which are estimated by single or simultaneous equations methods. When lagged endogenous are included an equation estimated by ordinary least squares, however, the Durbin-Watson statistic is asymptotically biased towards 2 (the value which it should have if no serial correlation is fact present). is doubtful, therefore, that…