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不同技术的预测准确性：美国宏观经济预测比较——Spivey 评论
W. Allen Spivey, [Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts]: Comment, Journal of Business & Economic Statistics, Vol. 4, No. 1 (Jan., 1986), pp. 19-22
时变参数回归建模框架
A framework for time varying parameter regression models is developed and employed in modeling and forecasting price expectations, using the Livingston data. Alternative model formulations, which include various choices for both the stochastic processes generating the varying parameters and the sets of explanatory variables, are examined and compared by using this framework. These models, some of which have appeared elsewhere and some of which are new, are estimated and used…
多元时间序列模型中永久与暂时影响的分析
Several multiple time series models are developed and applied to the analysis and forecasting of the M1 and M2 money supply aggregates. These models feature a decomposition of the time series into permanent and transient influences or components. This decomposition appears to enhance forecasting accuracy and is associated with a variance-covariance allocation parameter that is also estimated from the data. Conditional maximum likelihood estimates for model parameters are…