 |
 |
|||||||
 |
||||||||
 |
 |
 |
||||||
|
Modeling Forecasting Planning
(Forecasting)
Metadata (refereed articles mainly) See also Forecasting items
Contents
(in new windows)
1. MFP Metadata News 2. MFP Metadata Events (2009 December November October September August July June May April March February January 2008 Undated 2007 Undated ) 3. Problems 4. New Principle of Modeling, Forecasting, Planning - Principle of Uncertain Future 5. New Results. Solution of Problems 5.1. Solution of Problems 5.2. Formula of Forecasting
------------------------------------------------------------------------
How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts Malte Knuppel and Guido Schultefrankenfeld Deutsche Bundesbank, Research Centre 2008 Abstract Efficient estimation of forecast uncertainty based on recent forecast errors Malte Knuppel Deutsche Bundesbank, Research Centre 2009 Abstract Forecast Evaluation of Explanatory Models of Financial Variability Genaro Sucarrat Economics - The Open-Access, Open-Assessment E-Jou... 2009 Abstract Top
------------------------------------------------------------------------
Modeling Forecasting Planning
2. MFP Metadata Events
------------------------------------------------------------------------
2008
Top
Metadata added/revised in December
How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts Malte Knuppel and Guido Schultefrankenfeld Deutsche Bundesbank, Research Centre 2008 Abstract Efficient estimation of forecast uncertainty based on recent forecast errors Malte Knuppel Deutsche Bundesbank, Research Centre 2009 Abstract Forecast Evaluation of Explanatory Models of Financial Variability Genaro Sucarrat Economics - The Open-Access, Open-Assessment E-Jou... 2009 Abstract Top
Metadata added/revised in November
THE FORECAST OF FORMING THE GLOBAL SOCIUM INSTITUTIONS ON THE BASIS OF SIMULATION MODELING: THE MAIN PRINCIPLES Dmitri K. CHISTILIN Review of General Management 2009 Abstract A Note on Updating Forecasts When New Information Arrives between Two Periods Pu Chen Kiel Institute for the World Economy 2009 Abstract Decomposing Federal Funds Rate forecast uncertainty using real-time data Martin Mandler Philipps-Universitat Marburg, Faculty of Business ... 2009 Abstract Comparing the Predictive Accuracy of Macroeconomic Forecasts for Austria from 1998 to 2006 Christian Ragacs and Martin Schneider Monetary Policy & the Economy 2007 Abstract Top
Metadata added/revised in October
UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So? Gary Koop and Dimitris Korobilis University of Strathclyde Business School, Departm... 2009 Abstract Measuring Forecast Uncertainty by Disagreement: The Missing Link Kajal Lahiri and Xuguang Sheng University at Albany, SUNY, Department of Economic... 2009 Abstract Has the Economy Become More Predictable? Changes in Greenbook Forecast Accuracy Peter Tulip Journal of Money, Credit and Banking 2009 Abstract Top
Metadata added/revised in September
Pooling forecasts in linear rational expectations models Gregor W. Smith Journal of Economic Dynamics and Control 2009 Abstract Can We Obtain Valid Benchmarks from Published Surveys of Forecast Accuracy? Stephen Kolassa Foresight: The International Journal of Applied Fo... 2008 Abstract Measuring Improvement in Forecast Accuracy: A Case Study Robert Rieg Foresight: The International Journal of Applied Fo... 2008 Abstract Does information uncertainty affect investors' responses to analysts' forecast revisions? An investigation of accounting restatements Ran R. Barniv and Jian Cao Journal of Accounting and Public Policy 2009 Abstract Nested forecast model comparisons: a new approach to testing equal accuracy Todd Clark and Michael McCracken Federal Reserve Bank of Kansas City 2009 Abstract Top
Metadata added/revised in August
Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights Lennart Hoogerheide, Richard Kleijn, Francesco Ravazzolo, Herman K. van Dijk and Marno Verbeek Tinbergen Institute 2009 Abstract Bias Correction and Out-of-Sample Forecast Accuracy Hyeongwoo Kim and Nazif Durmaz University Library of Munich, Germany 2009 Abstract Top
Metadata added/revised in July
Indeterminancy from inflation forecast targeting: problem or pseudo-problem? Bennett McCallum Economic Quarterly 2009 Abstract The Calibration of Probabilistic Economic Forecasts John W. Galbraith and Simon van Norden CIRANO 2008 Abstract On the Structure of Analyst Research Portfolios and Forecast Accuracy Omesh Kini, Shehzad Mian, Michael Rebello and Anand Venkateswaran Journal of Accounting Research 2009 Abstract How to Track Forecast Accuracy to Guide Forecast Process Improvement Jim Hoover Foresight: The International Journal of Applied Fo... 2009 Abstract Top
Metadata added/revised in June
Are oil-price-forecasters finally right? - Regressive expectations towards more fundamental values of the oil price Stefan Reitz, Jan Ruelke and Georg Stadtmann University Library of Munich, Germany 2009 Abstract Text To Combine Forecasts or to Combine Information? Huiyu Huang and Lee, Tae-Hwy University of California at Riverside, Department ... 2009 Abstract Text Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008? Bruce Hicks and Lutz Kilian C.E.P.R. Discussion Papers 2009 Abstract Text Top
Metadata added/revised in May
The New Keynesian Monetary Model: Does it Show the Comovement...? Ramon Maria-Dolores and Jesus Vazquez University of the Basque Country - Department of F... 2008 Abstract Forecast Errors Before and After the Great Moderation Edward N. Gamber, Julie K. Smith and Matthew Weiss The George Washinton University, Department of Eco... 2008 Abstract Are 'unbiased' forecasts really unbiased? Another look at the Fed forecasts Tara M. Sinclair, Fred Joutz and Herman O. Stekler The George Washinton University, Department of Eco... 2008 Abstract Text Non-stationarity and meta-distribution Dominique Guegan HAL 2008 Abstract Text Top
Metadata added/revised in April
A Simple Explanation of the Forecast Combination Puzzle Jeremy Smith and Kenneth F. Wallis Oxford Bulletin of Economics and Statistics 2009 Abstract Detecting and Predicting Forecast Breakdowns Raffaella Giacomini and Barbara Rossi Review of Economic Studies 2009 Abstract Does Global Liquidity Help to Forecast U.S. Inflation? Antonello D'Agostino and Paolo Surico Journal of Money, Credit and Banking 2009 Abstract Top
Metadata added/revised in March
Second order bias in a forecast evaluation statistic (in Russian) Victor Kitov Quantile 2009 Abstract Text Grundlinien der Wirtschaftsentwicklung 2009/2010 Karl Brenke, Christian Dreger, Stefan Kooths, Vladimir Kuzin, Sebastian Weber and Florian Zinsmeister Wochenbericht 2009 Abstract Text Financial Crisis Causes Prolonged Global Economic Downturn. Medium-term Forecast of the World Economy until 2013 Stephan Schulmeister WIFO Monatsberichte (monthly reports) 2009 Abstract The Taylor rule and forecast intervals for exchange rates Jian Wang and Jason J. Wu Board of Governors of the Federal Reserve System (... 2009 Abstract Text A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model Rochelle M. Edge, Michael Kiley and Jean-Philippe Laforte Board of Governors of the Federal Reserve System (... 2009 Abstract Text Top
Metadata added/revised in February
Comparing the accuracy of density forecasts from competing GARCH models Ahmed Shamiri, Abu Hassan Shaari and Zaidi Isa University Library of Munich, Germany 2008 Abstract Text The Perils of Tax Smoothing: Sustainable Fiscal Policy with Random Shocks to Permanent Output Evan Tanner and Kevin Carey Czech Journal of Economics and Finance (Finance a ... 2008 Abstract Text Forecasting inflation and its determinants Anca Tanasie and Cosmin Fratostiteanu Revista Tinerilor Economisti (The Young Economists... 2008 Abstract Text Top
Metadata added/revised in January
Rounding of probability forecasts: The SPF forecast probabilities of negative output growth Michael Peter Clements University of Warwick, Department of Economics 2008 Abstract Text Bias in Federal Reserve inflation forecasts: Is the Federal Reserve irrational or just cautious? Carlos Capistran Journal of Monetary Economics 2008 Abstract Evolution of forecast disagreement in a Bayesian learning model Kajal Lahiri and Xuguang Sheng Journal of Econometrics 2008 Abstract Least-squares forecast averaging Bruce E. Hansen Journal of Econometrics 2008 Abstract Top
------------------------------------------------------------------------
Metadata added/revised in 2008
Evaluation of the Quality and Success Rate of Forecasts: A Historic Overview Zuzana Antonicova, Karel Musil, Lubos Ruzicka and Jan Vlcek Occasional Publications - Chapters in Edited Volum... 2008 Abstract Text Predicting the Signs of Forecast Errors Nazaria Solferino and Robert Waldmann Tor Vergata University, CEIS 2008-11 Abstract Text The Frequency of Financial Analysts' Forecast Revisions: Theory and Evidence about Determinants of Demand for Predisclosure Information Craig W. Holden and Pamela S. Stuerke Journal of Business Finance & Accounting 2008-09 Abstract Non-stationarity and meta-distribution Dominique Guegan HAL 2008-03 Abstract Text Measuring Improvement in Forecast Accuracy: A Case Study Robert Rieg Foresight: The International Journal of Applied Fo... 2008 Abstract Can We Obtain Valid Benchmarks from Published Surveys of Forecast Accuracy? Stephen Kolassa Foresight: The International Journal of Applied Fo... 2008 Abstract Economic Forecasting Graham Elliott and Allan Timmermann Journal of Economic Literature 2008 Abstract Averaging forecasts from VARs with uncertain instabilities Todd E. Clark and Michael W. McCracken Federal Reserve Bank of St. Louis 2008 Abstract Text Evaluating U.S. presidential election forecasts and forecasting equations James E. Campbell International Journal of Forecasting 2008 Abstract Forecasting Substantial Data Revisions in the Presence of Model Uncertainty Anthony Garratt, Gary Koop and ShaunP. Vahey Economic Journal 2008 Abstract Forecasting long memory time series when occasional breaks occur Luisa Bisaglia and Margherita Gerolimetto Economics Letters 2008 Abstract Forecasting with small macroeconomic VARs in the presence of instabilities Todd Clark and Michael McCracken Board of Governors of the Federal Reserve System (... 2007 Abstract Text Editorial: Probabilistic forecasting Tilmann Gneiting Journal Of The Royal Statistical Society Series A 2008 Title The relationship between market sentiment and equity premium: an artificial neural network analysis Nik R. Hassan and Shee Q. Wong International Journal of Electronic Finance 2008 Abstract The psychology of economic forecasting Karl Jonas Wennberg and Bjorn Nykvist Global Business and Economics Review 2007 Abstract Professional prognosticators: Is forecasting a science or an art? Doug Campbell Region Focus 2007 Abstract Text Realized Volatility: A Review Michael McAleer and Marcelo Medeiros Econometric Reviews 2008 Abstract Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models Manuele Bigeco, Enrico Grosso and Edoardo Otranto Centre for North South Economic Research, Universi... 2008 Abstract Text Economic Darwinism: Who has the Best Probabilities? David Johnstone Theory and Decision 2007 Abstract Gauging the uncertainty of the economic outlook from historical forecasting errors David Reifschneider and Peter Tulip Board of Governors of the Federal Reserve System (... 2007 Abstract Text Top
------------------------------------------------------------------------
Metadata added/revised in 2007
Quantifying risk and uncertainty in macroeconomic forecasts Malte Knuppel and Todter, Karl-Heinz Deutsche Bundesbank, Research Centre 2007 Abstract Text An Evaluation of the Exchange Rate Forecasting Performance of the New Keynesian Model Francis Vitek The Icfai Journal of Financial Economics 2007 Abstract Dynamic Panel Data Approach to the Forecasting of the GDP of German Lander Konstantin Kholodilin, Boriss Siliverstovs and Stefan Kooths DIW Berlin, German Institute for Economic Research 2007 Abstract The Forecaster as Leader of the Forecasting Process James Borneman Foresight: The International Journal of Applied Fo... 2007 Abstract Forecasting Software: A Progress Report for the First Seven Years of the 21st Century Jim Hoover Foresight: The International Journal of Applied Fo... 2007 Abstract Chaos in economics and finance Dominique Guegan Universite Pantheon-Sorbonne (Paris 1), Centre d'E... 2007-06 Abstract Text Use of the Normal Distribution in Calculating the Cost of Forecast Error Thomas R. Willemain Foresight: The International Journal of Applied Fo... 2007 Abstract Hot New Research: Recent Studies on Forecasting Know-How, Training, and Information Sharing Paul Goodwin Foresight: The International Journal of Applied Fo... 2007 Abstract Text Modeling Great Depressions: The Depression in Finland in the 1990s Juan Carlos Conesa, Timothy Kehoe and Kim Ruhl National Bureau of Economic Research, Inc 2007-11 Abstract Text Planning with ‘Human Face’: Tamil Nadu’s Approach towards ‘Correctives’ K. Jothi Sivagnanam University Library of Munich, Germany 2006-12 Abstract Text Inflation as a function of labor force change rate: cointegration test for the USA Ivan Kitov, Oleg Kitov and Svetlana Dolinskaya University Library of Munich, Germany 2007-01 Abstract Text Handbook of Economic Forecasting G. Elliott, C. Granger and A. Timmermann Handbook of Economic Forecasting from Elsevier 2006 Title Multivariate autoregressive modeling of time series count data using copulas Andreas Heinen and Erick Rengifo Journal of Empirical Finance 2007 Title Structured analogies for forecasting Kesten Charles Green and J. Scott Armstrong International Journal of Forecasting 2007 Title Forecasting of software development work effort: Introduction J. Scott Armstrong International Journal of Forecasting 2007 Title Soviet Planning Archives: the Files that Bergson could not see1 Andrei Markevich Comparative Economic Studies 2005 Abstract Precision, bias, and uncertainty for state population forecasts: an exploratory analysis of time series models Jeff Tayman, Stanley Smith and Jeffrey Lin Population Research and Policy Review 2007 Abstract How far ahead can we forecast? Evidence from cross-country surveys Gultekin Isiklar and Kajal Lahiri International Journal of Forecasting 2007 Abstract How far ahead do people plan? John D. Hey and Julia A. Knoll Economics Letters 2007 Abstract Measure for Measure: The Relation between Forecast Accuracy and Recommendation Profitability of Analysts Yonca Ertimur, Jayanthi Sunder and Shyam V. Sunder Journal of Accounting Research 2007 Abstract Top
------------------------------------------------------------------------
3. Problems of Modeling
(more)
The well-determined (but paradoxical) facts are: For positive (gains) risky prospects, people typically 1) overweight low probabilities but 2) underweight high probabilities. For negative (losses) risky prospects, people typically 3) underweight low probabilities but 4) overweight high probabilities. Top
------------------------------------------------------------------------
4. New Principle of Modeling, Forecasting, Planning
(more)
Principle of Uncertain Future
(simplified as much as possible)
The principle
The probability of a future event contains uncertainty.
4.1. The first consequence of the principle
Suppose we plan to test the probability value, which is equal to 99%. Suppose the probability uncertainty value is equal to 5%. Then, evidently, the real mean value of probability cannot be as high as 99%. Generally, High probabilities will decrease.
Phigh real < Phigh planned
Analogously, but considering the second consequence of the principle (see below),
Low probabilities can increase.
Plow real possible > Plow planned
4.2. The second consequence of the principle
The total probability of unforeseen future events is more than 0%
Σ Punforeseen real > 0%
Hence,
The present total probability of future events is less than 100%
Σ Pplanned < 100%
or
The present probability system of future events is incomplete. Top
------------------------------------------------------------------------
5. New Results. Solution of Problems
(more)
5.1. Solution of Problems of Modeling
The well-determined (but paradoxical) facts are: For positive (gains) risky prospects, people typically 1) overweight low probabilities but 2) underweight high probabilities. For negative (losses) risky prospects, people typically 3) underweight low probabilities but 4) overweight high probabilities. Denoting the real value of probability, which value is near 100% as Phigh real , the (positive) value of gain as G and the (negative) value of loss as -G , we obtain
Phigh real < Phigh planned
and
G * Phigh real < G * Phigh planned
-G * Phigh real > -G * Phigh planned
2) the underweight of high probabilities gains and 4) the overweight of high probabilities losses. Denoting the real value of probability, which value is near 0% as Plow real possible we obtain
Plow real possible > Plow planned
and
G * Plow real possible > G * Plow planned
-G * Plow real possible < -G * Plow planned
1) the overweight of low probabilities gains and 3) the underweight of low probabilities losses. Thus, the above facts can be explained naturally and uniformly. Top
5.2. New Results
5.2.1. Formula of Forecasting
The principle of uncertain future causes an increase of forecasting error and structural complexity. The principle of uncertain future originates a formula of forecasting:
F ≅ Fbase {1+Σφaddit}
{∏(1+kmultiplicat)} {1±Δerror}
Top
5.2.2. "Impossibilities" in Forecasting
Possible conclusions from the formula of forecasting and the first consequence of the principle: "Absolutely exact extrapolation forecasting is impossible" "Exact middle-range extrapolation forecasting is unattainable" Possible conclusions from the formula of forecasting and from the first and second consequences of the principle: "Absolutely reliable extrapolation forecasting is impossible" "Exact long-range extrapolation forecasting is impossible" "Quantitative extra-long-range extrapolation forecasting is impossible" (Growing quantitative uncertainties and unforeseen events may modify an essential parameter for more than 50% from its maximal value) Possible conclusion from the formula of forecasting and the second consequence of the principle: "Complete qualitative extra-long-range extrapolation forecasting is impossible" (Unforeseen events may add an unforeseen qualitative feature in a complete picture) Top
5.2.3. "Necessities" in Planning
Possible conclusions from the formula of forecasting and the principle of uncertain future in the scope of the concept "Future as the extrapolated Present": "Future is Modifications and Changes" "Short-term and Medium-term Planning is Necessary to be Flexible" "The Necessary Features of Long-term Planning should be Robustness & Resourcefulness" Top
|
|||||||
 |
 |
|||||||
|
||||||||
