Manajemen | Fakultas Ekonomi Universitas Maritim Raja Ali Haji jbes%2E2009%2E08106
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All told, the simple and multiple regression results reported in Table 7 indicate that the effect of the Livingston forecasts on future excess returns is robust to differences in
(iii) Using real-time inflation data and an alternative set of instruments: one lag of the inflation change, the Green- book forecast of the change in inflation (and the SPF within
In this article, we propose MIDAS regression and Kalman filter methods for using asset price data to construct daily forecasts of upcoming survey releases.. Our methods also allow us
Taking ac- count of data revisions by using the variance in the MSE-t test always increases the (absolute) value of the t-statistic—but in only one case is the adjusted
Our out-of-sample forecasting analysis suggests no strong evidence that M 3 matters for inflation or output growth, either with real-time or final vintage
We compare the forecast accuracy of four classes of fore- casting models using carefully synchronized realtime or vintage data: Greenbook, univariate time series models that are
Compared with models with constant variances, mod- els with stochastic volatility have significantly more accurate interval forecasts (coverage rates), normalized forecast
(a) Local linear estimation of the conditional mean function using the bandwidth h ′ = 5809 ; (b) Estimates of the conditional variance function based on the squared residuals using
