Efficient estimation of forecast uncertainty based on recent forecast errors:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
Dt. Bundesbank
2009
|
| Series: | Discussion paper / Deutsche Bundesbank : Series 1, economic studies
2009,28 |
| Subjects: | |
| Online Access: | Volltext Inhaltsverzeichnis |
| Item Description: | Auch im Internet verfügbar. - Zsfassung in dt. Sprache |
| Physical Description: | 58 S. graph. Darst. |
| ISBN: | 9783865585646 9783865585653 |
Staff View
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV035797090 | ||
| 003 | DE-604 | ||
| 005 | 20120808 | ||
| 007 | t | ||
| 008 | 091029s2009 d||| |||| 00||| eng d | ||
| 020 | |a 9783865585646 |9 978-3-86558-564-6 | ||
| 020 | |a 9783865585653 |9 978-3-86558-565-3 | ||
| 035 | |a (OCoLC)466172995 | ||
| 035 | |a (DE-599)BVBBV035797090 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-355 |a DE-20 |a DE-945 |a DE-12 |a DE-188 | ||
| 082 | 0 | |a 330.0112 |2 22/ger | |
| 084 | |a QB 910 |0 (DE-625)141231: |2 rvk | ||
| 084 | |a QH 233 |0 (DE-625)141548: |2 rvk | ||
| 084 | |a 330 |2 sdnb | ||
| 100 | 1 | |a Knüppel, Malte |d 1974- |e Verfasser |0 (DE-588)12409029X |4 aut | |
| 245 | 1 | 0 | |a Efficient estimation of forecast uncertainty based on recent forecast errors |c Malte Knüppel |
| 264 | 1 | |a Frankfurt am Main |b Dt. Bundesbank |c 2009 | |
| 300 | |a 58 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Discussion paper / Deutsche Bundesbank : Series 1, economic studies |v 2009,28 | |
| 500 | |a Auch im Internet verfügbar. - Zsfassung in dt. Sprache | ||
| 650 | 0 | 7 | |a Prognosequalität |0 (DE-588)4115643-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Wirtschaftsentwicklung |0 (DE-588)4066438-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Prognosefehler |0 (DE-588)4115642-0 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Wirtschaftsentwicklung |0 (DE-588)4066438-7 |D s |
| 689 | 0 | 1 | |a Prognosequalität |0 (DE-588)4115643-2 |D s |
| 689 | 0 | 2 | |a Prognosefehler |0 (DE-588)4115642-0 |D s |
| 689 | 0 | |C b |5 DE-604 | |
| 810 | 2 | |a Deutsche Bundesbank |t Discussion paper |v Series 1, economic studies ; 2009,28 |w (DE-604)BV017594637 |9 2009,28 | |
| 856 | 4 | 1 | |u http://hdl.handle.net/10419/28390 |x Verlag |z kostenfrei |3 Volltext |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u 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 |3 Inhaltsverzeichnis |
| 912 | |a ebook | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-018656299 | ||
Record in the Search Index
| _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 |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02048nam a2200469 cb4500</leader><controlfield tag="001">BV035797090</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20120808 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">091029s2009 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783865585646</subfield><subfield code="9">978-3-86558-564-6</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783865585653</subfield><subfield code="9">978-3-86558-565-3</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)466172995</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV035797090</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield><subfield code="a">DE-20</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-12</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">330.0112</subfield><subfield code="2">22/ger</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QB 910</subfield><subfield code="0">(DE-625)141231:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 233</subfield><subfield code="0">(DE-625)141548:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">330</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Knüppel, Malte</subfield><subfield code="d">1974-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)12409029X</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Efficient estimation of forecast uncertainty based on recent forecast errors</subfield><subfield code="c">Malte Knüppel</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Frankfurt am Main</subfield><subfield code="b">Dt. Bundesbank</subfield><subfield code="c">2009</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">58 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Discussion paper / Deutsche Bundesbank : Series 1, economic studies</subfield><subfield code="v">2009,28</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Auch im Internet verfügbar. - Zsfassung in dt. Sprache</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Prognosequalität</subfield><subfield code="0">(DE-588)4115643-2</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Wirtschaftsentwicklung</subfield><subfield code="0">(DE-588)4066438-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Prognosefehler</subfield><subfield code="0">(DE-588)4115642-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Wirtschaftsentwicklung</subfield><subfield code="0">(DE-588)4066438-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Prognosequalität</subfield><subfield code="0">(DE-588)4115643-2</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Prognosefehler</subfield><subfield code="0">(DE-588)4115642-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="C">b</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="810" ind1="2" ind2=" "><subfield code="a">Deutsche Bundesbank</subfield><subfield code="t">Discussion paper</subfield><subfield code="v">Series 1, economic studies ; 2009,28</subfield><subfield code="w">(DE-604)BV017594637</subfield><subfield code="9">2009,28</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://hdl.handle.net/10419/28390</subfield><subfield code="x">Verlag</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">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</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ebook</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-018656299</subfield></datafield></record></collection> |
| 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 |
| open_access_boolean | 1 |
| 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 |