کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5106328 | 1481433 | 2017 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Density forecast evaluation in unstable environments
ترجمه فارسی عنوان
ارزیابی پیش بینی تراکم در محیط های ناپایدار
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کلمات کلیدی
تست مبتنی بر اتوکد بر اساس عمومی، شکاف ساختاری، منحنی فیلیپس،
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
چکیده انگلیسی
We propose a density forecast evaluation method in the presence of instabilities, which are defined as breaks in any conditional moment of interest and/or in the functional form of the conditional density of the process. Within the framework of the autocontour-based tests proposed by González-Rivera et al. (2011) and González-Rivera and Sun (2015), we construct Sup- and Ave-type tests, calculated over a collection of subsamples in the evaluation period. These tests have asymptotic distributions that are nuisance-parameter free and they are correctly sized and very powerful for detecting breaks in the parameters of the conditional mean and conditional variance. A power comparison with the tests of Rossi and Sekhposyan (2013) shows that our tests are more powerful across the models considered in their work. We analyze the stability of a dynamic Phillips curve and find that the best one-step-ahead density forecast of changes in inflation is generated by a Markov switching model that allows state shifts in the mean and variance of inflation changes as well as in the coefficient that links inflation and unemployment.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 33, Issue 2, AprilâJune 2017, Pages 416-432
Journal: International Journal of Forecasting - Volume 33, Issue 2, AprilâJune 2017, Pages 416-432
نویسندگان
Gloria González-Rivera, Yingying Sun,