Efficient estimation of forecast uncertainty based on recent forecast errors:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
Dt. Bundesbank
2009
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| Schriftenreihe: | Discussion paper / Deutsche Bundesbank : Series 1, economic studies
2009,28 |
| Schlagworte: | |
| Online-Zugang: | Volltext Inhaltsverzeichnis |
| Beschreibung: | Auch im Internet verfügbar. - Zsfassung in dt. Sprache |
| Beschreibung: | 58 S. graph. Darst. |
| ISBN: | 9783865585646 9783865585653 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804140741125996544 |
|---|---|
| adam_text | Titel: Efficient estimation of forecast uncertainty based on recent forecast errors
Autor: Knüppel, Malte
Jahr: 2009
Contents
1 Introduction
2 Optimal Forecasts 4
2.1 The Covariances of Squared Forecast Errors............. 5
2.2 The Data Structure of Recent Forecast Errors............ 7
3 Efficient Estimation of Forecast Uncertainty 8
4 SUR Estimation of Forecast Uncertainty 13
5 Properties of the GLS and SUR Estimator 16
5.1 The Parameter-(In)dependence of the GLS and SUR Estimator . . 18
5.2 The Recursiveness of the GLS and SUR Estimator.......... 20
6 Problems in Practice 24
6.1 Unknown Covariance Matrix...................... 24
6.2 Non-Optimal Forecasts......................... 26
6.2.1 Bias............................... 27
6.2.2 AR(1)-Processes ........................ 29
6.2.3 AR(2)-Processes ........................ 30
6.2.4 Structural Breaks........................ 31
7 Applications to the Bank of England s Inflation Forecasts 32
7.1 The Uncertainty About the 2- to 3-Year-Ahead Forecasts...... 32
7.2 The Width of the RPIX Inflation Fan Charts............. 34
8 Conclusion 36
A Appendix 41
A.I Covariance of Squared Forecast Errors................ 41
A.2 Parameter Independence of the SUR Estimator ........... 45
A.3 FGLS Estimation............................ ^
|
| any_adam_object | 1 |
| author | Knüppel, Malte 1974- |
| author_GND | (DE-588)12409029X |
| author_facet | Knüppel, Malte 1974- |
| author_role | aut |
| author_sort | Knüppel, Malte 1974- |
| author_variant | m k mk |
| building | Verbundindex |
| bvnumber | BV035797090 |
| classification_rvk | QB 910 QH 233 |
| collection | ebook |
| ctrlnum | (OCoLC)466172995 (DE-599)BVBBV035797090 |
| dewey-full | 330.0112 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.0112 |
| dewey-search | 330.0112 |
| dewey-sort | 3330.0112 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV035797090 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:04:47Z |
| institution | BVB |
| isbn | 9783865585646 9783865585653 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018656299 |
| oclc_num | 466172995 |
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| owner | DE-355 DE-BY-UBR DE-20 DE-945 DE-12 DE-188 |
| owner_facet | DE-355 DE-BY-UBR DE-20 DE-945 DE-12 DE-188 |
| physical | 58 S. graph. Darst. |
| psigel | ebook |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank : Series 1, economic studies |
| spelling | Knüppel, Malte 1974- Verfasser (DE-588)12409029X aut Efficient estimation of forecast uncertainty based on recent forecast errors Malte Knüppel Frankfurt am Main Dt. Bundesbank 2009 58 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Deutsche Bundesbank : Series 1, economic studies 2009,28 Auch im Internet verfügbar. - Zsfassung in dt. Sprache Prognosequalität (DE-588)4115643-2 gnd rswk-swf Wirtschaftsentwicklung (DE-588)4066438-7 gnd rswk-swf Prognosefehler (DE-588)4115642-0 gnd rswk-swf Wirtschaftsentwicklung (DE-588)4066438-7 s Prognosequalität (DE-588)4115643-2 s Prognosefehler (DE-588)4115642-0 s b DE-604 Deutsche Bundesbank Discussion paper Series 1, economic studies ; 2009,28 (DE-604)BV017594637 2009,28 http://hdl.handle.net/10419/28390 Verlag kostenfrei Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018656299&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Knüppel, Malte 1974- Efficient estimation of forecast uncertainty based on recent forecast errors Prognosequalität (DE-588)4115643-2 gnd Wirtschaftsentwicklung (DE-588)4066438-7 gnd Prognosefehler (DE-588)4115642-0 gnd |
| subject_GND | (DE-588)4115643-2 (DE-588)4066438-7 (DE-588)4115642-0 |
| title | Efficient estimation of forecast uncertainty based on recent forecast errors |
| title_auth | Efficient estimation of forecast uncertainty based on recent forecast errors |
| title_exact_search | Efficient estimation of forecast uncertainty based on recent forecast errors |
| title_full | Efficient estimation of forecast uncertainty based on recent forecast errors Malte Knüppel |
| title_fullStr | Efficient estimation of forecast uncertainty based on recent forecast errors Malte Knüppel |
| title_full_unstemmed | Efficient estimation of forecast uncertainty based on recent forecast errors Malte Knüppel |
| title_short | Efficient estimation of forecast uncertainty based on recent forecast errors |
| title_sort | efficient estimation of forecast uncertainty based on recent forecast errors |
| topic | Prognosequalität (DE-588)4115643-2 gnd Wirtschaftsentwicklung (DE-588)4066438-7 gnd Prognosefehler (DE-588)4115642-0 gnd |
| topic_facet | Prognosequalität Wirtschaftsentwicklung Prognosefehler |
| url | http://hdl.handle.net/10419/28390 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018656299&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV017594637 |
| work_keys_str_mv | AT knuppelmalte efficientestimationofforecastuncertaintybasedonrecentforecasterrors |