 |
 |
|||||
 |
||||||
 |
 |
 |
||||
|
Formula of Forecasting
Modeling Forecasting Planning (Forecasting, MFP) (working papers mainly) See also Forecasting, MFP metadata
Contents
(in new windows)
1. News 2. Reviews & Analyses 3. Items' Events ( 2011 2010 2009 2008 2007 ) 4. Problems 5. New Principle of Modeling, Forecasting, Planning - Principle of Uncertain Future 6. New Results. Solution of Problems 6.1. Solution of Problems 6.2. Formula of Forecasting
------------------------------------------------------------------------
F ≅ Fbase {1+Σφaddit}
{∏(1+kmultiplicat)} {1±Δerror}
more
------------------------------------------------------------------------
1. Forecasting News (more)
Analyzing Fixed-event Forecast Revisions Michael McAleer, Philip Hans Franses and Chia-Lin Chang Kyoto University, Institute of Economic Research Abstract Text Evaluating Individual and Mean Non-Replicable Forecasts Chia-Lin Chang, Philip Hans Franses and Michael McAleer Kyoto University, Institute of Economic Research Abstract Text Are realized volatility models good candidates for alternative Value at Risk prediction strategies? Dimitrios P. Louzis, Spyros Xanthopoulos-Sisinis and Apostolos P. Refenes University Library of Munich, Germany Abstract Text Top
------------------------------------------------------------------------
2. Modeling Forecasting Planning
Reviews & Analyses Principles of Forecasting: A Handbook for Researchers and Practitioners J. Scott Armstrong Wharton School, University of Pennsylvania Content Handbook of Economic Forecasting G. Elliott, C. Granger and A. Timmermann Handbook of Economic Forecasting from Elsevier 2006 Title
------------------------------------------------------------------------
3. Modeling Forecasting Planning
Items' Events 2011
Analyzing Fixed-event Forecast Revisions Michael McAleer, Philip Hans Franses and Chia-Lin Chang Kyoto University, Institute of Economic Research Abstract Text Evaluating Individual and Mean Non-Replicable Forecasts Chia-Lin Chang, Philip Hans Franses and Michael McAleer Kyoto University, Institute of Economic Research Abstract Text Are realized volatility models good candidates for alternative Value at Risk prediction strategies? Dimitrios P. Louzis, Spyros Xanthopoulos-Sisinis and Apostolos P. Refenes University Library of Munich, Germany Abstract Text Forecasting macroeconomic variables using disaggregate survey data Kjetil Martinsen, Francesco Ravazzolo and Fredrik Wulfsberg Norges Bank Abstract Text GDP Modelling with Factor Model: an Impact of Nested Data on Forecasting Accuracy Andrejs Bessonovs University Library of Munich, Germany Abstract Text Forecasting Equicorrelation Adam Clements, Christopher A Coleman-Fenn and Daniel R. Smith National Centre for Econometric Research Abstract Text Forecasting Inflation Using Dynamic Model Averaging Gary Koop and Dimitris Korobilis University of Strathclyde Business School, Department of Economics Abstract Text Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks Francesco Audrino University of St. Gallen, School of Economics and Political Science Abstract Text Forecasting with Medium and Large Bayesian VARs Gary Koop University of Strathclyde Business School, Department of Economics Abstract Text A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models Luc Bauwens, Gary Koop, Dimitris Korobilis and Jeroen Rombouts University of Strathclyde Business School, Department of Economics Abstract Text Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments Philip Hans Franses, Michael McAleer and Rianne Legerstee Kyoto University, Institute of Economic Research Abstract Text Forecasting Performance of Alternative Error Correction Models Javed Iqbal University Library of Munich, Germany Abstract Text A Century of Inflation Forecasts Antonello D'Agostino and Paolo Surico C.E.P.R. Discussion Papers Abstract Text Are Forecast Updates Progressive? Chia-Lin Chang, Philip Hans Franses and Michael McAleer Kyoto University, Institute of Economic Research Abstract Text The value of feedback in forecasting competitions George Athanasopoulos and Rob J Hyndman Monash University, Department of Econometrics and Business Statistics Abstract Text An Alternative Bayesian Approach to Structural Breaks in Time Series Models Sjoerd van den Hauwe, Richard Paap and Dick van Dijk Tinbergen Institute Keywords: Structural breaks Abstract Text Bayesian VARs: Specification Choices and Forecast Accuracy Andrea Carriero, Todd Clark and Massimiliano Marcellino C.E.P.R. Discussion Papers Abstract Text Modelling and Forecasting Noisy Realized Volatility Manabu Asai, Michael McAleer and M. Medeiros Erasmus University Rotterdam, Econometric Institute Abstract Text The forecasting horizon of inflationary expectations and perceptions in the EU. Is it really 12 months? Lars Jonung and Staffan Linden Lund University, Department of Economics Abstract Text Forecast Rationality Tests Based on Multi-Horizon Bounds Andrew Patton and Allan Timmermann C.E.P.R. Discussion Papers Abstract Text The sensitivity of the Scaled Model of Error with respect to the choice of the correlation parameters: A simulation study Rebecca Graziani and Nico Keilman "Carlo F. Dondena" Centre for Research on Social Dynamics (DONDENA), Universita Commerciale Luigi Bocconi Abstract Text Top
------------------------------------------------------------------------
2010
Probabilistic Forecasts of Volatility and its Risk Premia Worapree Maneesoonthorn, Gael Margaret Martin, Catherine S. Forbes and Simone Grose Monash University, Department of Econometrics and Business Statistics Abstract Text Forecasting in the presence of recent structural change Jana Eklund, George Kapetanios and Simon Price Bank of England Abstract Text Nowcasting Marta Banbura, Domenico Giannone and Lucrezia Reichlin European Central Bank Abstract Text The links between in?ation and in?ation uncertainty at the longer horizon Alexander Tsyplakov University Library of Munich, Germany Abstract Text A Perspective on Predicting Currency Crises Juan Yepez, Robert P. Flood and Nancy P. Marion International Monetary Fund Abstract Text Denoised Least Squares Forecasting of GDP Changes Using Indexes of Consumer and Business Sentiment Antonis A. Michis Central Bank of Cyprus Abstract Text Forecast Combination and Bayesian Model Averaging - A Prior Sensitivity Analysis Martin Feldkircher University of Salzburg Abstract Text Information or Institution? – On the Determinants of Forecast Accuracy Roland Dohrn and Christoph M. Schmidt Rheinisch-Westfalisches Institut fur Wirtschaftsforschung, Ruhr-Universitat Bochum, Universitat Dortmund, Universitat Duisburg-Essen Abstract Text The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data Rasmus Varneskov School of Economics and Management, University of Aarhus Abstract Text How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan Chia-Lin Chang, Philip Hans Franses and Michael McAleer Kyoto University, Institute of Economic Research Abstract Text Analyzing Macroeconomic Forecastability Ray Fair Cowles Foundation for Research in Economics, Yale University Abstract Text Теорема о существовании разрывов в шкале вероятностей. Дискретный случай Alexander Harin University Library of Munich, Germany Abstract Text Forecasting volatility in the presence of Leverage Effect Remi Rhodes, Vincent Vargas and Jean-Christophe Domenge HAL Abstract Text Econometric Studies of Business Cycles in the History of Econometrics Duo Qin Queen Mary, University of London, School of Economics and Finance Abstract Text Theorem of existence of ruptures in probability scale. Preliminary short version Alexander Harin University Library of Munich, Germany Abstract Text Теорема о существовании разрывов в шкале вероятностей. II Alexander Harin University Library of Munich, Germany Abstract Text On the forecasting accuracy of multivariate GARCH models Sebastien Laurent, Jeroen VK Rombouts and Francesco Violante Universite catholique de Louvain, Center for Operations Research and Econometrics (CORE) Abstract Text Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps Yin Liao, Heather M. Anderson and Farshid Vahid Monash University, Department of Econometrics and Business Statistics Abstract Text Bias Correction and Out-of-Sample Forecast Accuracy Hyeongwoo Kim and Nazif Durmaz Department of Economics, Auburn University Abstract Text Are Some Forecasters Really Better Than Others? D’Agostino, Antonello, Kieran McQuinn and Karl T. Whelan School Of Economics, University College Dublin Abstract Text Measuring Output Gap Uncertainty Anthony Garratt, James Mitchell and Shaun P. Vahey C.E.P.R. Discussion Papers Abstract Text Perspectives on Evaluating Macroeconomic Forecasts Ullrich Heilemann and Herman O. Stekler The George Washington University, Department of Economics, Research Program on Forecasting Abstract Text Practice and Prospects of Medium-term Economic Forecasting Torsten Schmidt, Helmut Hofer and Klaus Weyerstrass Rheinisch-Westfalisches Institut fur Wirtschaftsforschung, Ruhr-Universitat Bochum, Universitat Dortmund, Universitat Duisburg-Essen Abstract Text Can the Fed Predict the State of the Economy? Tara M. Sinclair, Fred Joutz and Herman O. Stekler The George Washington University, Department of Economics, Research Program on Forecasting Abstract Text Seasonality, Forecast Extensions and Business Cycle Uncertainty Tommaso Proietti University Library of Munich, Germany Abstract Text Теорема о существовании разрывов в шкале вероятностей Alexander Harin University Library of Munich, Germany Abstract Text Systemic Risks and the Macroeconomy De NicolA?, Gianni and Marcella Lucchetta International Monetary Fund Abstract Text Real-Time Data Revisions and the PCE Measure of Inflation Heather L.R. Tierney University Library of Munich, Germany Abstract Text Forecasting with Factor-augmented Error Correction Models Anindya Banerjee, Massimiliano Marcellino and Igor Masten C.E.P.R. Discussion Papers Abstract Text Has the Accuracy of German Macroeconomic Forecasts Improved? Ullrich Heilemann and Herman O. Stekler The George Washington University, Department of Economics, Research Program on Forecasting Abstract Text Hedging: Scaling and the Investor Horizon John Cotter and Jim Hanly Geary Institute, University College Dublin Abstract Text Predicting chaos with Lyapunov exponents: Zero plays no role in forecasting chaotic systems Dominique Guegan and Justin T. Leroux HAL Abstract Text Should Macroeconomic Forecasters Use Daily Financial Data and How? Elena Andreou, Eric Ghysels and Andros Kourtellos Rimini Centre for Economic Analysis Abstract Text How Risky Is the Value at Risk? Roxana Halbleib (Chiriac) and Winfried Pohlmeier Rimini Centre for Economic Analysis Abstract Text Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability Marco Aiolfi, Marius Rodriguez and Allan Timmermann C.E.P.R. Discussion Papers Abstract Text Top
------------------------------------------------------------------------
2009
Ruptures in the probability scale? Calculation of ruptures’ dimensions Alexander Harin University Library of Munich, Germany Abstract Text Forecasting Realized Volatility with Linear and Nonlinear Models Michael McAleer and M.C. Medeiros Erasmus University Rotterdam, Econometric Institut... Abstract Text Forecasting long memory time series under a break in persistence Florian Heinen, Philipp Sibbertsen and Robinson Kruse School of Economics and Management, University of ... Abstract Text Accuracy, Unbiasedness and Efficiency of Professional Macroeconomic Forecasts: An empirical Comparison for the G7 Jonas Dovern and Johannes Weisser Friedrich-Schiller-University Jena, Max-Planck-Ins... Abstract Text Nonlinearity, Nonstationarity, and Spurious Forecasts Vadim Marmer Microeconomics.ca Website Abstract Text Constructing Forecast Confidence Bands During the Financial Crisis Ondra Kamenik, Marianne Johnson, Kevin Clinton, Huigang Chen and Douglas Laxton International Monetary Fund Abstract Text Real-time inflation forecasting in a changing world Jan J. J. Groen and R. Paap Erasmus University Rotterdam, Econometric Institut... Abstract Text Forecasting chaotic systems: The role of local Lyapunov exponents Dominique Guegan and Justin Leroux HAL Abstract Text Analyzing Macroeconomic Forecastability Ray C. Fair Cowles Foundation, Yale University Abstract Text Disagreement among Forecasters in G7 Countries Jonas Dovern, Ulrich Fritsche and Jiri (Jirka) Slacalek Hamburg University, Department Wirtschaft und Poli... Abstract Text Macro modelling with many models Ida Wolden Bache, James Mitchell, Francesco Ravazzolo and Shaun P. Vahey Norges Bank Abstract Text 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... Abstract Text Realising the future: forecasting with high frequency based volatility (HEAVY) models Neil Shephard and Kevin Sheppard Economics Group, Nuffield College, University of O... Abstract Text General correcting formula of forecasting? Alexander Harin University Library of Munich, Germany Abstract Text Общая корректирующая формула прогнозирования Alexander Harin University Library of Munich, Germany Abstract Text Forecasting the World Economy in the Short-Term Audrone Jakaitiene and Stephane Dees European Central Bank Abstract Text Analyzing Macroeconomic Forecastability Ray C. Fair Cowles Foundation, Yale University Abstract Text A nonparametric approach to forecasting realized volatility Adam Clements and Ralf Becker National Centre for Econometric Research Abstract Text Estimating and Forecasting Asset Volatility and Its Volatility: A Markov-Switching Range Model Jan Piplack Utrecht School of Economics Abstract Text MONETARY POLICY FORECASTING IN A DSGE MODEL WITH DATA THAT IS UNCERTAIN, UNBALANCED AND ABOUT THE FUTURE Andres Gonzalez Gomez, Lavan Mahadeva, Diego Rodriguez and Luis Eduardo Rojas Duenas BANCO DE LA REPUBLICA Abstract Text Chaos in Economics and Finance Dominique Guegan HAL Abstract Text Forecasting Random Walks under Drift Instability M. Hashem Pesaran and Andreas Pick Netherlands Central Bank, Research Department Abstract Text Optimal Prediction Pools John Geweke and Gianni Amisano European Central Bank Abstract Text Volatility Forecasting: The Jumps Do Matter Fulvio Corsi, Davide Pirino and Roberto Reno Institute of Economic Research, Hitotsubashi Unive... Abstract Text Forecasting Errors: Yet More Problems for Identification? Bruno Contini Institute for the Study of Labor (IZA) Abstract Text Top
------------------------------------------------------------------------
2008
A Small Quarterly Projection Model of the US Economy Ondra Kamenik, Ioan Carabenciov, Igor Ermolaev, Charles Freedman, Dmitry Korshunov, Douglas Laxton and Michel Juillard International Monetary Fund Abstract Text The History of Manpower Forecasting in Modelling Labour Market Stefano Spalletti Macerata University, Department of Studies on Econ... Abstract Text Forecasting Unemployment Rate Using a Neural Network with Fuzzy Inference System George Atsalakis, Camelia Ioana Ucenic and Christos Skiadas University of Crete, Department of Economics Abstract Text The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast Andrew J. Patton and Allan Timmermannd CREATES Research Papers Abstract Text The Usefulness of Output Gaps for Policy Analysis Isabell Koske and Nigel Pain OECD Economics Department Abstract Text Short-term forecasting of GDP using large monthly datasets – A pseudo real-time forecast evaluation exercise K. Barhoumi, S. Benk, R. Cristadoro, Ard Den Reijer, A. Jakaitiene, P. Jelonek, A. Rua, K. Ruth, C. Van Nieuwenhuyze and Gerhard Runstler National Bank of Belgium Abstract Text The Continuing Puzzle of Short Horizon Exchange Rate Forecasting Kenneth S Rogoff and Vania Stavrakeva National Bureau of Economic Research, Inc Abstract Text Forecasting Bankruptcy and Physical Default Intensity Ping Zhou Financial Markets Group Abstract Text Complex Evolutionary Systems in Behavioral Finance Cars Hommes and Florian Oskar Ottokar Wagener Tinbergen Institute Abstract Text Forecasting Realized Volatility: A Bayesian Model Averaging Approach Chun Liu and John M. Maheu University of Toronto, Department of Economics Abstract Text A Review of Forecasting Techniques for Large Data Sets Jana Eklund and George Kapetanios Queen Mary, University of London, Department of Ec... Abstract Text Forecasting chaotic systems: the role of local Lyapunov exponents Dominique Guegan and Justin Leroux HAL Abstract Text Forecasting Economic and Financial Variables with Global VARs M Hashem Pesaran, Til Schuermann and L. Vanessa Smit Faculty of Economics, University of Cambridge Abstract Text Top
------------------------------------------------------------------------
2007
A hybrid approach to combine fuzziness and randomness in travel choice prediction Dell'Orco, Mauro, Giovanni Circella and Domenico Sassanelli European Journal of Operational Research Title Prospective analysis: guidelines for forecasting financial statements Ignacio Velez-Pareja and Joseph Tham UNIVERSIDAD TECNOLOGICA DE BOLIVAR Abstract Text Endogenous Political Instability Ryo Arawatari and Kazuo Mino Osaka University, Graduate School of Economics and... Abstract Text Exact prediction of inflation and unemployment in Japan Ivan Kitov University Library of Munich, Germany Abstract Text Bayesian Analysis of Determinisitic Time Trend and Changes in Persistence Using a Generalised Stochastic Unit Root Model Fuyu Yang Department of Economics, University of Leicester Abstract Text The Dictator’s Dilemma: to Punish or to Assist? Plan Failures and Interventions under Stalin Andrei Markevich Center for Economic and Financial Research (CEFIR) Abstract Text Принцип неопределенного будущего и его применения А. Харин СОЦИОНЕТ About: Modeling, Forecasting, Planning and the Principle of Uncertain Future. Аннотация Текст Do People Plan? John Bone, John D Hey and John Suckling Department of Economics, University of York Abstract Text Monetary Policy with Model Uncertainty: Distribution Forecast Targeting Lars E O Svensson and Noah Williams C.E.P.R. Discussion Papers Abstract Can earnings forecasts be improved by taking into account the forecast bias? Karine Michalon, Sandrine Lardic and Francois Dossou HAL, CCSD Abstract Text Do People Plan? John Bone, John Hey and John Suckling MIUR Project on Dynamic Decision Making Abstract An Analysis of Tax Revenue Forecast Errors Martin Keene and Peter Thomson New Zealand Treasury Abstract Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better? Rafal Weron and Adam Misiorek University Library of Munich, Germany Abstract Text Principle of uncertain future and utility Alexander Harin University Library of Munich, Germany Abstract Text 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 Top
------------------------------------------------------------------------
4. 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
------------------------------------------------------------------------
5. 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.
5.1. 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
5.2. 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
------------------------------------------------------------------------
6. New Results. Solution of Problems
(more)
6.1. 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
6.2. New Results
6.2.1. 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
6.2.2. "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
6.2.3. "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
|
|||||
 |
 |
|||||
|
||||||
