共查询到7条相似文献,搜索用时 15 毫秒
1.
This paper investigates robust model rankings in out‐of‐sample, short‐horizon forecasting. We provide strong evidence that rolling window averaging consistently produces robust model rankings while improving the forecasting performance of both individual models and model averaging. The rolling window averaging outperforms the (ex post) “optimal” window forecasts in more than 50% of the times across all rolling windows. 相似文献
2.
Macroeconomic forecasting with mixed data sampling frequencies: Evidence from a small open economy 下载免费PDF全文
The aim of this study was to forecast the Singapore gross domestic product (GDP) growth rate by employing the mixed‐data sampling (MIDAS) approach using mixed and high‐frequency financial market data from Singapore, and to examine whether the high‐frequency financial variables could better predict the macroeconomic variables. We adopt different time‐aggregating methods to handle the high‐frequency data in order to match the sampling rate of lower‐frequency data in our regression models. Our results showed that MIDAS regression using high‐frequency stock return data produced a better forecast of GDP growth rate than the other models, and the best forecasting performance was achieved by using weekly stock returns. The forecasting result was further improved by performing intra‐period forecasting. 相似文献
3.
This paper compares the forecast performance of vector‐autoregression‐type (VAR) demand systems with and without imposing the homogeneity restriction in the cointegration space. US meat consumption (beef, poultry and pork) data are studied. One up to four‐steps‐ahead forecasts are generated from both the theoretically restricted and unrestricted models. A modified Diebold–Mariano test of the equality of mean squared forecast errors (MSFE) and a forecast encompassing test are applied in forecast evaluation. Our findings suggest that the imposition of the homogeneity restriction tends to improve the forecast accuracy when the restriction is not rejected. The evidence is mixed when the restriction is rejected. Copyright © 2002 John Wiley & Sons, Ltd. 相似文献
4.
We evaluate forecasting models of US business fixed investment spending growth over the recent 1995:1–2004:2 out‐of‐sample period. The forecasting models are based on the conventional Accelerator, Neoclassical, Average Q, and Cash‐Flow models of investment spending, as well as real stock prices and excess stock return predictors. The real stock price model typically generates the most accurate forecasts, and forecast‐encompassing tests indicate that this model contains most of the information useful for forecasting investment spending growth relative to the other models at longer horizons. In a robustness check, we also evaluate the forecasting performance of the models over two alternative out‐of‐sample periods: 1975:1–1984:4 and 1985:1–1994:4. A number of different models produce the most accurate forecasts over these alternative out‐of‐sample periods, indicating that while the real stock price model appears particularly useful for forecasting the recent behavior of investment spending growth, it may not continue to perform well in future periods. Copyright © 2007 John Wiley & Sons, Ltd. 相似文献
5.
On-line prediction of electric load in the buses of the EHV grid of a power generation and transmission system is basic information required by on-line procedures for centralized advanced dispatching of power generation. This paper presents two alternative approaches to on-line short term forecasting of the residual component of the load obtained after the removal of the base load from a time series of total load. The first approach involves the use of stochastic ARMA models with time-varying coefficients. The second consists in the use of an extension of Wiener filtering due to Zadeh and Ragazzini. Real data representing a load process measured in an area of Northern Italy and simulated data reproducing a non-stationary process with known characteristics constitute the basis of a numerical comparison allowing one to determine under which conditions each method is more appropriate. 相似文献
6.
Predicting bank failures is important as it enables bank regulators to take timely actions to prevent bank failures or reduce the cost of rescuing banks. This paper compares the logit model and data mining models in the prediction of bank failures in the USA between 2002 and 2010 using levels and rates of change of 16 financial ratios based on a cross‐section sample. The models are estimated for the in‐sample period 2002–2009, while data for the year 2010 are used for out‐of‐sample tests. The results suggest that the logit model predicts bank failures in‐sample less precisely than data mining models, but produces fewer missed failures and false alarms out‐of‐sample. 相似文献
7.
The role of p53 in tumour suppression: lessons from mouse models 总被引:10,自引:1,他引:9
The use of mouse models has greatly contributed to our understanding of the role of p53 in tumour suppression. Mice homozygous
for a deletion in the p53 gene develop tumours at high frequency, providing essential evidence for the importance of p53 as
a tumour suppressor. Additionally, crossing these knockout mice or transgenic expression p53 dominant negative alleles with
other tumour-prone mouse strains has allowed the effect of p53 loss on tumour development to be examined further. In a variety
of mouse models, absence of p53 facilitates tumorigenesis, thus providing a means to study how the lack of p53 enhances tumour
development and to define genetic pathways of p53 action. Depending on the particular model system, loss of p53 either results
in deregulated cell-cylce entry or aberrant apoptosis (programmed cell death), confirming results found in cell culture systems
and providing insight into in vitro function of p53. Finally, as p53 null mice rapidly develop tumours, they are useful for
evaluating agents for either chemopreventative or therapeutic activities. 相似文献