tailieunhanh - Handbook of Economic Forecasting part 9

Handbook of Economic Forecasting part 9. Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing | 54 J. Geweke and C. Whiteman a case study in point. More generally models that are preferred as indicated by Bayes factors should lead to better decisions as measured by ex post loss for the reasons developed in Sections and . This section closes with such a comparison for time-varying volatility models. . Autoregressive leading indicator models In a series of papers Garcia-Ferer et al. 1987 Zellner and Hong 1989 Zellner Hong and Gulati 1990 Zellner Hong and Min 1991 Min and Zellner 1993 Zellner and coauthors investigated the use of leading indicators pooling shrinkage and timevarying parameters in forecasting real output for the major industrialized countries. In every case the variable modeled was the growth rate of real output there was no presumption that real output is cointegrated across countries. The work was carried out entirely analytically using little beyond what was available in conventional software at the time which limited attention almost exclusively to one-step-ahead forecasts. A principal goal of these investigations was to improve forecasts significantly using relatively simple models and pooling techniques. The observables model in all of these studies is of the form 2 . . yit ao asyi -s P Zi -1 Si it N 0 a2 68 with yit denoting the growth rate in real GNP or real GDP between year t 1 and year t in country i. The vector z 1 comprises the leading indicators. In Garcia-Ferer et al. 1987 and Zellner and Hong 1989 zit consisted of real stock returns in country i in years t 1 and t the growth rate in the real money supply between years t 1 and t and world stock return defined as the median real stock return in year t over all countries in the sample. Attention was confined to nine OECD countries in Garcia-Ferer et al. 1987 . In Zellner and Hong 1989 the list expanded to 18 countries but the original group was reported separately as well for purposes of comparison. The earliest study Garcia-Ferer et al. 1987 considered five different .