Forecasting unemployment using an autoregression with censored latent effects parameters

Article Abstract:

A new autoregressive time-series model, having time-varying parameters, where the variation depends on the linear indicator variable is developed for forecasting the unemployment series of three G-7 countries. The performance of the new model, which is called autoregression with a censored latent effects parameter (AR-CLEP) model, could possibly outperform the other models of forecasting.

Unemployment, Regression analysis, Autoregression (Statistics)

---

Forecasting economic and financial time-series with non-linear models

Article Abstract:

The selection and use of non-linear models for economic and financial time-series forecasting is discussed, where special emphasize is placed on joint and conditional predictive evaluation, loss functions, data mining, estimation and specification. Careful application of existing techniques, new models and tests can help in determining the economic and financial time-series forecasts.

Financial Services, Finance and Insurance, DEPOSITORY INSTITUTIONS, Financial services industry, Economic forecasting

---

A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure

Article Abstract:

Linear and nonlinear models are used to assess the out-of-sample predictability of interest rates and to test the existence of nonlinearities in the response of short-term and long-term interest rates to the spread in interest rates. The findings indicate that nonlinearities are present in the response of interest rates to the spread and may result in accurate short-term forecasts.

Interest Rates

Similar abstracts:

• Abstracts: Forecasting OECD industrial turning points using unobserved components models with business survey data
• Abstracts: Internet job search and unemployment durations. A comment on the economics of labor adjustment: mind the gap. Wages and employment in the United States and Germany: what explains the differences?
• Abstracts: Forecasting in the presence of large shocks. The economic effects of immigration-a dynamic analysis
• Abstracts: Distance and prediction error variance constraints for ARMA model portfolios. Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations
• Abstracts: Combing time series models for forecasting. Stable seasonal pattern models for forecast revision: a comparative study

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.