Forecasting cointegrated nonstationary time series with time-varying variance
时变方差下协整非平稳时间序列的预测AI 解读 ↓
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时变方差下协整非平稳时间序列的预测AI 解读 ↓
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In cointegrated vector autoregressive (VAR) models, error correction terms often have indeterminate effects on forecasting, thus we are concerned with inclusion or exclusion of the cointegration relation in forecast. This paper considers the model averaging strategies for cointegrated VAR models with heterogeneous variance or variance breaks. The estimated cointegration rank along with other data information are used to formulate the model averaging weights. This specific but unknown pattern of time-varying variances has nontrivial effects on the choices of model weights. Our numerical results strongly advocate the Mallows averaging estimator, but caution against the commonly used pre-testing approach.
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多元时间序列多重结构变化的高效贝叶斯方法
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GVAR 框架下产出增长、通胀与贸易差额的概率预测
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结构突变期间均衡修正模型的预测
When location shifts occur, cointegration-based equilibrium-correction models (EqCMs) face forecasting problems. We consider alleviating such forecast failure by updating, intercept corrections, differencing, and estimating the future progress of an 'internal' break. Updating leads to a loss of cointegration when an EqCM suffers an equilibrium-mean shift, but helps when collinearities are changed by an 'external' break with the EqCM staying constant. Both mechanistic…
经济时间序列的贝叶斯预测
A model is suggested to forecast economic time series. This model incorporates some innovative ideas of Harrison and Stevens [20] for building into the forecasting process important external shocks to the systems. Thus the occurrence of possibly significant real-world events may cause a fundamental change in the time series in question. The Jeffreys-Savage (JS) Bayesian theory of hypothesis testing is used to test the hypothesis that a particular event has been such as to…