tailieunhanh - Handbook of Economic Forecasting part 68

Handbook of Economic Forecasting part 68. 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 | 644 . Clements and Hendry Figure 4. DVECM 1-step forecasts of Ur t Rt and 10-step forecasts of N2Ur t A2Rrt 1992-2001. of Ur t and Rrt over 1992-2001. As can be seen all the outcomes lie well inside the interval forecasts shown as 2ctf for both sets of forecasts. Notice the equilibriumcorrection behavior manifest in the 10-step forecasts as Ur converges to and Rr to 0 such must occur independently of the outcomes for Ur t and Rrt. On all these criteria the outcome is successful on the out-of-selection-sample evaluation. While far from definitive as shown in Clements and Hendry 2005 these results demonstrate that the model merits its more intensive scrutiny over the three salient historical episodes. By way of comparison we also record the corresponding forecasts from the differenced models discussed in Section . First we consider the VECM denoted DVECM which maintains the parameter estimates but differences all the variables see Hendry 2005 . Figure 4 shows the graphical output for 1-step forecasts of Ur t and Rrt and the 10-step forecasts of 2Ur t and 2Rrt over 1992-2001 throughout the interval forecasts for multi-step forecasts from mis-specified models are not adjusted for the -unknown - mis-specification . In fact there was little discernible difference between the forecasts produced by the DVECM and those from a double-difference VAR DDVAR see Clements and Hendry 1999 and Section . The 1-step forecasts are close to those from the VECM but the entailed multi-step levels forecasts from the DVECM are poor as the rise in unemployment prior to the forecast origin turns to a fall throughout the remainder of the period but the forecasts continue to rise there is no free lunch when insuring against forecast failure. Ch. 12 Forecasting with Breaks 645 .------ j-step forecasts ------U -----I-step forecasts -------Rr 1920 1925 1930 1935 1940 1920 1925 1930 1935 1940 - 10-step forecasts ------- 10-step forecasts --------R 8 1920 1925 1930 1935 1940 1920