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Unpredictability in Economic Analyis, Econometric Modelling and Forecasting
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In this paper, the implications of unanticipated shifts for forecasting, economic analyses of efficient markets, inter-temporal derivations, and general-to-specific model selection, tackling outliers and non-constancy by impulse-indicator saturation.Abstract:
Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated information sets. We note the implications of unanticipated shifts for forecasting, economic analyses of efficient markets, inter-temporal derivations, and general-to-specific model selection, tackling outliers and non-constancy by impulse-indicator saturation, and contrast the potential success in modeling breaks with the major difficulties confronting forecasting.read more
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Behavioral heterogeneity in U.S. inflation dynamics
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Truth or precision? Some reflections on the economists’ failure to predict the financial crisis
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References
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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
TL;DR: Using these results, data-dependent automatic bandwidth/lag truncation parameters are introduced and asymptotically optimal kernel/weighting scheme and bandwidth/agreement parameters are obtained.
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Inference in linear time series models with some unit roots
TL;DR: In this article, the authors consider estimation and hypothesis testing in linear time series models when some or all of the variables have unit roots and show that parameters that can be written as coefficients on mean zero, nonintegrated regressors have jointly normal asymptotic distributions, converging at the rate T'/2.
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Cointegration and Tests of Present Value Models
TL;DR: In this paper, the authors proposed a cointegrated model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[subt] and the "spread" S [sub t]= Y[Sub t] -[theta sub t] will be stationary for some [theta] whether or not y(sub t) must be differenced to induce stationarity.
Journal ArticleDOI
Cointegration and Tests of Present Value Models
TL;DR: In this paper, the authors proposed a cointegrated model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[subt] and the "spread" S [sub t]= Y[Sub t] -[theta sub t] will be stationary for some [theta] whether or not y(sub t) must be differenced to induce stationarity.
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Power and Bipower Variation with Stochastic Volatility and Jumps
TL;DR: Barndorff-Nielsen and Shephard as mentioned in this paper showed that realized power variation and its extension, realized bipower variation, which they introduce here, are somewhat robust to rare jumps.