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Estimation and Forecasting

Dynamic factor models in estimation and forecasting

Dynamic factor models in estimation and forecasting

... Macroeconomic data available for emerging market economies are character- ized by short time spans and sharp shocks. Short spans of data suggest the adoption of simple models as forecasting tools. However, the ...

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Efficient Yield Curve Estimation and Forecasting in Brazil

Efficient Yield Curve Estimation and Forecasting in Brazil

... Abstract Modeling the term structure of interest rate is very important to macroeconomists and financial market practitioners in general. In this paper, we used the Diebold-Li interpretation to the Nelson Siegel model in ...

25

Winter Road Surface Condition Estimation and Forecasting

Winter Road Surface Condition Estimation and Forecasting

... (RSC) estimation and forecasting. For RSC estimation, the goal of the research was to develop models to discriminate RSC classes based on continuous friction measurements (CFM) and other available ...

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Robust Estimation and Forecasting of the Capital Asset Pricing Model

Robust Estimation and Forecasting of the Capital Asset Pricing Model

... One might consider incorporating the Bayesian approach (Matsumura, et al., 1990; Bian and Tiku, 1997; Wong and Bian, 2000) into MML estimation. We note that the distribution of the stock returns in our ...

25

VAR estimation and forecasting when data are subject to revision

VAR estimation and forecasting when data are subject to revision

... Sargent (1989) questions the classical measurement-error model of government statistical releases more fundamentally, proposing an alternative model in which the statistical agency itself applies the Kalman filter to ...

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Robust Estimation and Forecasting of the Capital Asset Pricing Model

Robust Estimation and Forecasting of the Capital Asset Pricing Model

... One might consider incorporating the Bayesian approach (Matsumura, et al., 1990; Bian and Tiku, 1997; Wong and Bian, 2000) into MML estimation. We note that the distribution of the stock returns in our ...

24

Essays on the applications of distributional scaling in finance: Estimation, forecasting and inference

Essays on the applications of distributional scaling in finance: Estimation, forecasting and inference

... there are clearly potential gains in estimation and forecasting performance available if an alternative distributional form can be found that does not require such restrictions. 3.3.4 Two Sources of ...

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The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting

The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting

... either estimation of the common component or forecasting of the ...Regarding forecasting, since both methods are based on the common-idiosyncratic decomposi- tion, and since these two components are ...

24

A structural common factor approach to core inflation estimation and forecasting

A structural common factor approach to core inflation estimation and forecasting

... the estimation procedure is simplified, since the maximisation of the spectral likelihood function is not required, making the approach suitable to handle large systems and sample ...namely forecasting ...

73

In this paper, a MATLAB -based software is developed for peak load estimation and forecasting

In this paper, a MATLAB -based software is developed for peak load estimation and forecasting

... load estimation and ...load estimation module for collecting and estimating the peak load based on the power rating of electrical appliances in the ...load forecasting module is also designed to ...

10

Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models

Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models

... nonparametric estimation of the TVC models would be an attractive alternative, because it allows the data to “speak for ...nonparametric estimation of the mean regression models as well as their econometric ...

41

Estimation and forecasting in vector autoregressive moving average models for rich datasets

Estimation and forecasting in vector autoregressive moving average models for rich datasets

... and forecasting macroeconomic variables using rich datasets by adopting the class of Vector Autoregressive Moving Average (VARMA) ...the estimation issue that arises with this class of models by im- ...

42

WALS estimation and forecasting in factor-based dynamic models with an application to Armenia

WALS estimation and forecasting in factor-based dynamic models with an application to Armenia

... 9 Concluding remarks In this paper we have applied two alternative model averaging algorithms (WALS and BMA) to the problem of estimating factor-based dynamic mod- els. The estimated models have also been used to ...

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Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors

Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors

... multivariate forecasting which combines Dynamic Factor and multivariate GARCH ...multi-step estimation technique which combines asymptotic principal components and multivariate ...in forecasting the ...

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Estimation and forecasting in vector autoregressive moving average models for rich datasets

Estimation and forecasting in vector autoregressive moving average models for rich datasets

... and forecasting macroeconomic variables using rich datasets by adopting the class of Vector Autoregressive Moving Average (VARMA) ...the estimation issue that arises with this class of models by im- ...

40

Chapter VIII. Forecasting and estimation from data correlated.doc

Chapter VIII. Forecasting and estimation from data correlated.doc

... Marketing (future sales, new products) Production and operations What is the difference between estimation, extrapolation, prediction and forecasting? Estimation is the calculated approximation of a ...

15

Output Gap Estimation for Inflation Forecasting: The Case of the Philippines

Output Gap Estimation for Inflation Forecasting: The Case of the Philippines

... for estimation done until Q3 2006, they are also all starting to turn ...for forecasting is one which uses information from all three measures as explanatory ...

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Spatial Internet Traffic Load Forecasting with Using Estimation Method

Spatial Internet Traffic Load Forecasting with Using Estimation Method

... Internet tra ffic is one of the most unpredictable and fluctuating phenomenon to forecast, although accurate prediction is difficult challenge. Many research about measurement experiments are dedicated to predict the ...

9

ROC-Based Model Estimation for Forecasting Large Changes in Demand

ROC-Based Model Estimation for Forecasting Large Changes in Demand

... Abstract Forecasting for large changes in demand should benefit from different estimation than that used for estimating mean ...multivariate forecasting model designed for detecting the largest ...

21

Classical time-varying FAVAR models - estimation, forecasting and structural analysis

Classical time-varying FAVAR models - estimation, forecasting and structural analysis

... when forecasting during recessions, which is often complex and problematic, and also in the post-1995 period, when typically standard constant-parameter factor models do not perform so ...when forecasting ...

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