日期精度：到日 443 篇 · 到月 1337 篇 · 到年 54 篇 · 未提供 1 篇
经济预测组合：胜算矩阵方法
In this article, we test a new method of combining economic forecasts, the odds-matrix approach, using Clemen and Winkler's (1986) data on gross-national-product forecasts. For these data, the results show that the odds-matrix method is more accurate than each of the other methods tested and can be expected to be especially useful when data are nonstationary or sparse.
货币、价格与收入的经验关系再考察
This article investigates the relationship between sum, Divisia, and monetary velocity money, prices, and income using the notion of Granger (1969) causality. This is achieved by evaluating empirically (using Dickey–Fuller unit-root tests) whether the macroeconomic time series under consideration are trend stationary or difference stationary and by conducting tests using three different, ad hoc, lag lengths—8, 6, and 4 quarters—as well as a statistically determined—using…
利用最大似然预测纪录
A maximum likelihood method of fitting a model to a series of records is proposed, using ideas from the analysis of censored data to construct a likelihood function based on observed records. This method is tried out by fitting several models to series of athletics records for mile and marathon races. A form of residual analysis is proposed for testing the models. Forecasting consequences are also considered. In the case of mile records, a steady linear improvement since…
用最大似然法预测纪录
A maximum likelihood method of fitting a model to a series of records is proposed, using ideas from the analysis of censored data to construct a likelihood function based on observed records. This method is tried out by fitting several models to series of athletics records for mile and marathon races. A form of residual analysis is proposed for testing the models. Forecasting consequences are also considered. In the case of mile records, a steady linear improvement since…
对美国商务部领先指标方法的检验
Bivariate time series models are built that describe the empirical relationships between industrial production and components of the Composite Index of Leading Indicators (CLI). This reveals the indicators' average lead times at all points of the business cycle, the forms of the distributed lags involved, and their ability to explain later movements in economic activity. The relationship between industrial production and the CLI is also examined and used to test the…
时间序列解聚与预测：贝叶斯分析
The problem of temporal disaggregation of time series is analyzed by means of Bayesian methods. The disaggregated values are obtained through a posterior distribution derived by using a diffuse prior on the parameters. Further analysis is carried out assuming alternative conjugate priors. The means of the different posterior distributions are shown to be equivalent to some sampling theory results. Bayesian prediction intervals are obtained. Forecasts for future disaggregated…
序列相关与预测组合
It is shown that regression-based methods of forecast combination lead to serially correlated combined prediction errors. The form of the serial correlation is characterized, and specification, estimation, and prediction are treated. A fully optimal combined predictor, which exploits the serial correlation, is developed and compared with existing regression-based methods in a numerical example, leading to decreases in mean squared prediction error.
股利创新与股票价格波动
A standard efficient markets model states that a stock price equals the expected present discounted valu e of its dividends, with a constant discount rate. This is shown to i mply that the variance of the innovation in the stock price is smalle r than that of a stock-price forecast made from a subset of the marke t's information set. The implication follows even if prices and divid ends require differencing to induce stationarity. The relation betwee n the variances appears…
随机回归模型中最小二乘预测量的自适应预测及时间序列应用
Herein we consider the asymptotic performance of the least squares predictors $\hat{y}_n$ of the stochastic regression model $y_n = \beta_1 x_{n1} + \cdots + \beta_p x_{np} + \varepsilon_n$. In particular, the accumulated cost function $\sum^n_{k=1} (y_k - \hat{y}_k - \varepsilon_k)^2$ is studied. The results are then applied to nonstationary autoregressive time series. A statistic is also constructed to show how many times one should difference a nonstationary time series…
自回归预测误差性质的估计
Forecasting requires estimates of the error of prediction; however, such estimates for autoregressive forecasts depend nonlinearly on unknown parameters and distributions. Substitution estimators of mean squared error (MSE) possess bias that varies with the underlying model, and Gaussian-based prediction intervals fail if the data are not normally distributed. This article proposes methods that avoid these problems. A second-order Taylor expansion produces an estimator of…
投入产出系统的最优近似聚合
A method of constructing aggregate input—output systems is proposed. The procedure minimizes the mean squared error of aggregate predictions. The range of data on which the aggregate model is to be applied influences the best approximate aggregate. Best approximate aggregate models maximize Ijiri's coefficient of aggregation. In a special case, Fisher's aggregated model emerges: if consistent aggregation is possible it gives the best approximate aggregate. Computations…
美国县级人口预测的准确性与偏差检验
"This article deals with the forecast accuracy and bias of population projections for 2,971 counties in the United States. It uses three different projection techniques and data from 1950, 1960, 1970, and 1980 to make two sets of 10-year projections and one set of 20-year projections. These projections are compared with census counts to determine forecast errors. The size, direction, and distribution of forecast errors are analyzed by size of place, rate of growth, and…
On propose une methode analytique simplifiee qui autorise le calcul, meme pour des systemes de dimension moyenne
向量自回归与现实
This article questions the statistical significance of variance decompositions and impulse response functions for unrestricted vector auto regressions. It suggests that previous authors have failed to provide confidence intervals for variance decompositions and impulse response functions. Two methods of computing such confidence intervals are developed: first, using a normal approximation; second, using bootstrapped resampling. An example from Sims's work is used to…
欧洲经济共同体生产调查预期的形成与预测表现：时间序列研究
This article provides an empirical analysis of manufacturers' survey responses on short-term production expectations. If such surveys provide valid anticipations of production activity in customer industries, they should be valuable information to management in supplier industries. Two major questions are considered: (a) Are survey expectations valid predictors of future production activity as reported later by the manufacturers and/or as measured by official statistics? (b)…
英国经济的存量—流量一致宏观计量模型：第二部分
Abstract This paper is the second of a series of two which describe the estimation and simulation of a stock‐flow consistent macro‐economic model of the UK economy. The first part (Davis, 1987) surveyed the theoretical literature on stock‐adjustment dynamics, criticized existing UK forecasting models for omitting many potential stock‐flow interactions and gave an outline of the model which is constructed here. The estimation and simulation results suggest that variables…
无模型一步向前预测区间：渐近理论与小样本模拟
We show that the empirical quantile process from an ARMA$(1, q)$ process which is strongly mixing $\Delta_s$, and is either Gaussian or double exponential, converges to a Gaussian process. This result is used to derive model-free one-step-ahead prediction intervals for such processes. Simulations demonstrate where the asymptotic theory can and cannot be applied to small samples.
同期季节调整
Concurrent seasonal adjustment uses all information up to and including the current month's figure and thus should provide more accurate estimates of final seasonally adjusted data than the prevalent official method where the current month's component is forecasted from data through the preceding December. This article evaluates the expected gain from employing concurrent seasonal adjustment, including the case in which the data contain both nonseasonal and seasonal…
同期季节调整
Concurrent seasonal adjustment uses all information up to and including the current month's figure and thus should provide more accurate estimates of final seasonally adjusted data than the prevalent official method where the current month's component is forecasted from data through the preceding December. This article evaluates the expected gain from employing concurrent seasonal adjustment, including the case in which the data contain both nonseasonal and seasonal…
预测小麦出口：汇率是否重要？
A vector autoregression is fit to recent U.S. data on wheat prices, wheat export sales, wheat export shipments, and exchange rates. Forecast error decompositions and out-of-sample forecasts indicate that exchange rates have little influence on wheat sales and shipments.
未来需求的概率分布
The bootstrapping technique of Efron (1979) is used to estimate the probability distribution of future electricity demand for Hydro Quebec. The application follows the regression approach of Freedman and Peters (1984a,b) but also allows for serially correlated disturbances and uncertainty in the independent variable forecasts.
组合预测：统一方法与最优性的再考察
This article shows when the theoretical Lagrange multiplier solution for combining forecasts has a regression representation. This solution is not optimal in general because it imposes a restriction on an otherwise more general linear form. The optimal linear predictor based on N forecasts is presented. This predictor is or is not a regression function depending on whether the latter function is linear. I also show that the Lagrange multiplier solution may often be nearly…