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Contents
(in new windows)
1. News 2. Reviews & Analyses 3. Items' Events (2009 December November October September August July June May April March February January 2008 Undated 2007 Undated ) 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
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1. Forecasting News (more)
Ruptures in the probability scale? Calculation of ruptures’ dimensions Alexander Harin University Library of Munich, Germany Abstract Text The Predictive Power of Conditional Models: What Lessons to Draw with Financial Crisis in the Case of Pre-Emerging Capital Markets? Abdelhamid EL BOUHADI and Khalid Achibane University Library of Munich, Germany Abstract Text The role of central bank transparency for guiding private sector forecasts Michael Ehrmann, Sylvester C. W. Eijffinger and Marcel Fratzscher C.E.P.R. Discussion Papers Abstract Top
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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
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3. Modeling Forecasting Planning
Items' Events 2008
Top
December
Ruptures in the probability scale? Calculation of ruptures’ dimensions Alexander Harin University Library of Munich, Germany Abstract Text The Predictive Power of Conditional Models: What Lessons to Draw with Financial Crisis in the Case of Pre-Emerging Capital Markets? Abdelhamid EL BOUHADI and Khalid Achibane University Library of Munich, Germany Abstract Text The role of central bank transparency for guiding private sector forecasts Michael Ehrmann, Sylvester C. W. Eijffinger and Marcel Fratzscher C.E.P.R. Discussion Papers Abstract Top
November
Forecasting Realized Volatility with Linear and Nonlinear Models Michael McAleer and M.C. Medeiros Erasmus University Rotterdam, Econometric Institut... Abstract Text "Google it!" Forecasting the US unemployment rate with a Google job search index Francesco D'Amuri and Juri Marcucci University Library of Munich, Germany 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 Top
October
Predicting Elections from Biographical Information about Candidates J. Scott Armstrong and Andreas Graefe University Library of Munich, Germany Abstract Text Predicting recoveries and the importance of using enough information Xiaoming Cai and Wouter Den Haan C.E.P.R. Discussion Papers Abstract Top
September
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 Top
August
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 Top
July
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 Top
June
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 Google Econometrics and Unemployment Forecasting Nikos Askitas and Klaus F. Zimmermann Institute for the Study of Labor (IZA) 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 Top
May
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 Forecasting bank loans loss-given-default Joao Afonso Bastos Centre for Applied Mathematics and Economics (CEMA... Abstract Text Top
April
Global Relative Poverty Lynge Nielsen International Monetary Fund 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 Top
March
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 Predicting European Union recessions in the euro era: The yield curve as a forecasting tool of economic activity Periklis Gogas, Dionisios Chionis and Ioannis Pragkidis University Library of Munich, Germany Abstract Text Volatility Forecasting: The Jumps Do Matter Fulvio Corsi, Davide Pirino and Roberto Reno Institute of Economic Research, Hitotsubashi Unive... Abstract Text Top
February
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions Osmani Teixeira de Carvalho Guillen, Vahid Farshid, George Athanasopoulos and Joao Victor Issler Graduate School of Economics, Getulio Vargas Found... Abstract Text Forecasting Errors: Yet More Problems for Identification? Bruno Contini Institute for the Study of Labor (IZA) Abstract Text Top
January
Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation? Sebastiano Manzan and Dawit Zerom University Library of Munich, Germany Abstract Text Business surveys and inflation forecasting in China Juuso Kaaresvirta and Aaron Nikolai Mehrotra Bank of Finland, Institute for Economies in Transi... Abstract Text Top
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2008 Undated
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
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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
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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
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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
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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
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