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Sometimes it is suggested that end users can improve forecasts by some kind of corrections. At least implicitly, the idea is to use such corrections if the forecasts appear too inaccurate by some criteria. Alternative forecasts can be defined based on whether a preliminary test of forecast usefulness and a subsequent correction has been made. The mean squared errors of some such forecasts are studied using some recent results on inequality pretesting. Uncorrected forecasts…

A simple one-period-ahead and multiperiod-ahead prediction procedure for multivariate time series is suggested, based on the canonical correlation technique. The prediction procedure is direct in the sense that no lag orders and parameters have to be estimated first, as in the usual ARMAX or VAR parameterizations of multivariate stationary stochastic processes. A best (in the mean squared error sense) predictor can be obtained directly using singular-value decompositions of…

阿根廷 1978—1987 年货币需求：奥斯特拉尔计划前后AI 解读

In this study, a monthly money-demand function for Argentina is estimated for a period that ends one month before the austral program (May 1985). The performance of the traditional econometric approach is compared with the new cointegration approach to time series econometrics. The comparison is carried out by a postsample forecast of the demand for money for a period of two years after the stabilization (until July 1987). The cointegration approach is found superior to the…

We compare the forecast accuracy of autoregressive integrated moving average (ARIMA) models based on data observed with high and low frequency, respectively. We discuss how, for instance, a quarterly model can be used or predict one quarter ahead even if only annual data are available, and we compare the variance of the prediction error in this case with the variance if quarterly observations were indeed available. Results on the expected information gain are presented for a…

预测的预检验与校正AI 解读

Sometimes it is suggested that end users can improve forecasts by some kind of corrections. At least implicitly, the idea is to use such corrections if the forecasts appear too inaccurate by some criteria. Alternative forecasts can be defined based on whether a preliminary test of forecast usefulness and a subsequent correction has been made. The mean squared errors as some such forecasts are studied using some recent results on inequality pretesting. Uncorrected forecasts…

阿根廷1978—1987年的货币需求：奥斯特拉尔计划前后AI 解读

In this study, a monthly money-demand function for Argentina is estimated for a period that ends one month before the austral program (May 1985). The performance of the traditional econometric approach is compared with the new cointegration approach to time series econometrics. The comparison is carried out by a postsample forecast of the demand for money for a period of two years after the stabilization (until July 1987). The cointegration approach is found superior to the…

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利用同期短时间序列预测技术替代AI 解读

It has been shown in the literature that the data of technological substitutions exhibit a strong correlation across different time periods, that is, a strong serial correlation. Significant improvement in predicting such substitutions has been achieved by incorporating serial correlation and power transformation parameters into four growth curve models. The modified models, or data-based transformed models, however, break down when the number of time points is small. This…

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平稳经济时间序列的无模型渐近最优预测AI 解读

Given observations on a stationary economic vector time series process we show that the best h -step ahead forecast (best in the sense of having minimal mean square forecast error) of one of the variables can be consistently estimated by nonparametric regression on an ARMA memory index. Our approach is based on a combination of the ARMA memory index modeling approach of Bierens [7] with a modification to time series of the nonparametric kernel regression approach of Devroye…

大型非线性计量模型随机最优控制问题的求解算法AI 解读

Abstract This paper considers the problem of solving an optimal control problem for large dynamic economic models which are both nonlinear and stochastic. It proposes a technique which combines conventional deterministic optimal control algorithms with the procedure of stochastic simulation, which calculates a numerical approximation to the distribution of the models endogenous variables. The new technique is computationally feasible for even large nonlinear models and, as…

汇总初步劳动力市场数据估计当季国民生产总值AI 解读

Two methods of using labor-market data as indicators of contemporaneous gross national product (GNP) are developed. The establishment survey data are used by inverting a partial-adjustment equation for hours. A second GNP forecast can be extracted from the household survey by using Okun's law. Using preliminary rather than final data adds about .2 to .4 percentage points to the expected value of the root mean squared errors and changes the weights that the pooling procedures…

季节分数差分模型在货币总量中的应用AI 解读

In this article, three significant variables used by the U.S. Federal Reserve as targets to shape monetary policy, the monetary aggregates M1, M2, and M3, are examined using a seasonal fractionally differenced model. The sample autocorrelation functions of these monetary variables exhibit a decay pattern at the seasonal lags that is typical of a fractional model. The seasonal fractionally differenced model is found to remove a great deal of the autocorrelation at the…

This article develops a theory and methodology for repeated time series (RTS) measurements on autoregressive integrated moving average-noise (ARIMAN) process. The theory enables us to relax the normality assumption in the ARIMAN model and to identify models for each component series of the process. We discuss the properties, estimation, and forecasting of RTS ARIMAN models and illustrate with examples.

In a recent article, Garcia-Ferrer, Highfield, Palm, and Zellner (1987) used pooling techniques to forecast annual output growth rates in nine countries. Examining various model specifications, they found that, among the fixed-parameter models investigated, a third-order autoregressive (AR) model with leading indicators, AR(3)LI, produces the best forecasts overall. A reexamination using state-space methods shows that a more parsimonious fixed-parameter model, which does not…

ARIMA 噪声模型的重复时间序列分析AI 解读

This article develops a theory and methodology for repeated time series (RTS) measurements on autoregressive integrated moving average-noise (ARIMAN) process. The theory enables us to relax the normality assumption in the ARIMAN model and to identify models for each component series of the process. We discuss the properties, estimation, and forecasting of RTS ARIMAN models and illustrate with examples.

向量自回归模型中脉冲响应函数与预测误差方差分解的渐近分布AI 解读

In recent years, vector autoregressive models have become standard tools for economic analyses. Impulse response functions and forecast error variance decompositions are usually computed from these models in order to investigate the interrelationships within the system. However, sometimes no measures of estimation uncertainty are provided by authors. One reason may be that the relevant asymptotic distribution theory is distributed over various publications. In this article,…

From an analysis of the track records of U.S. economic forecasters, Stekler (1987) concluded that "all forecasters are not equal." This article shows that his result is based on an incorrectly defined test statistic. When a more appropriate test is conducted, the figures suggest that accuracy rankings are not significantly different from those that might be expected as a result of sampling error in a population of equally accurate forecasters.

This article adapts to the regional level a multicountry technique recently used by Garcia-Ferrer, Highfield, Palm, and Zellner (1987) and extended by Zellner and Hong (1987) to forecast the growth rates in gross national product across nine countries. This forecasting methodology is applied to the regional level by modeling payroll formation in seven Ohio metropolitan areas. We compare the forecasting performance of these procedures with that of a ridge estimator and find…

随机水平突变时间序列模型、ARIMA 近似与水平突变检测AI 解读

The main purpose of this article is to assess the performance of autoregressive integrated moving average (ARIMA) models when occasional level shifts occur in the time series under study. A random level-shift time series model that allows the level of the process to change occasionally is introduced. Between two consecutive changes, the process behaves like the usual autoregressive moving average (ARMA) process. In practice, a series generated from a random level-shift ARMA…

时期总生育率预测：微观动态新古典生育模型的时间序列性质AI 解读

"This article demonstrates the value of microdata for understanding the effect of wages on life cycle fertility dynamics. Conventional estimates of neoclassical economic fertility models obtained from linear aggregate time series regressions are widely criticized for being nonrobust when adjusted for serial correlation. Moreover, the forecasting power of these aggregative neoclassical models has been shown to be inferior when compared with conventional time series models…

总量时期生育率预测：微观动态新古典生育模型的时间序列性质AI 解读

This article demonstrates the value of microdata for understanding the effect of wages on life cycle fertility dynamics. Conventional estimates of neoclassical economic fertility models obtained from linear aggregate time series regressions are widely criticized for being nonrobust when adjusted for serial correlation. Moreover, the forecasting power of these aggregative neoclassical models has been shown to be inferior when compared with conventional time series models that…

动态非线性模型预测量的大样本性质AI 解读

The large-sample behavior of one-period-ahead and multiperiod-ahead predictors for a dynamic nonlinear simultaneous system is examined in this paper. Conditional on final values of the endogenous variables, the asymptotic moments of the deterministic, closed-form, Monte Carlo stochastic, and several variations of the residual-based stochastic predictor are analyzed. For one-period-ahead prediction, the results closely parallel our previous findings for static nonlinear…

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