Approximating Fixed-Horizon Forecasts Using Fixed-Event Forecasts
|
|
- Gwendolyn Bruce
- 6 years ago
- Views:
Transcription
1 Approximating Fixed-Horizon Forecasts Using Fixed-Event Forecasts Malte Knüppel and Andreea L. Vladu Deutsche Bundesbank 9th ECB Workshop on Forecasting Techniques 4 June 216 This work represents the authors personal opinions and does not necessarily reflect the views of the Bundesbank 1 / 27
2 What we do Construct approximations for fixed-horizon forecasts from fixed-event forecasts; Approximation uses optimal weighting of fixed-event forecasts derived by minimizing the mean-squared approximation error; Explore gains in approximating one-year-ahead mean inflation and GDP growth for the 13 countries from the Consensus Economics (CE) survey... and the corresponding cross-sectional forecast disagreement. 2 / 27
3 Example: Fixed-event forecasts from Consensus Economics 3 / 27
4 Inflation forecasts from Consensus Economics (CE) Question: What is the forecast of 11-month-ahead year-on-year inflation rate (fixed-horizon), standing at beginning of month t? g t+11,t 1 = p t+11 p t 1 p t 1 g t,t 1 + g t+1,t + g t+11,t+1. Information at time t: Two CE fixed-event forecasts: Annual growth rate of price index for current calendar year: g (12) 1, = p(12) 1 p (12) 1, where p (12) 1 = 1 12 (p p 12 ), p (12) = 1 12 (p p ). Annual growth rate of price index for next calendar year: g (12) 2,1 = p(12) 2 p (12) 1 1, where p (12) 2 = 1 12 (p p 24 ). Drawbacks of fixed-event forecasts 4 / 27
5 Annual growth rates and monthly growth rates CE fixed-event forecasts are well approximated by linear function of monthly growth rates (Patton and Timmermann, 211): g (12) 1, ω 1 g 12,11 + ω 2 g 11,1 + + ω 24 g 11, 12 g (12) 2,1 ω 1 g 24,23 + ω 2 g 23, ω 24 g 1, where w k = 1 k PT weights current year PT weights next year Jan Apr Jul Oct Jan Apr Jul Oct Jan Apr Jul Oct previous year current year next year 5 / 27
6 Ad-hoc approximation of fixed-horizon forecasts at time t Approximate g t+11,t 1 by weighting the two CE fixed-horizon forecasts according to: ( ) ĝ t+11,t 1 wt adhoc g (12) 1, + 1 wt adhoc g (12) 2,1, with w adhoc t = 13 t 12. Example: In beginning of January (t = 1) one wants to forecast inflation Dec(current year)-to-dec(previous year): ĝ 12, g (12) 1, since w adhoc t = 1. Note: Information contained in the second fixed-event forecast g (12) 2,1 is ignored in this case. 6 / 27
7 Optimal approximation of fixed-horizon forecasts at time t We propose to determine the weight w t in: g t+11,t 1 = w t g (12) 1, + (1 w t) g (12) 2,1, by minimizing the expected squared approximation error [ min E (g t+11,t 1 g t+11,t 1 ) 2]. w Novel approximation accounts correctly for monthly growth rates embedded in g t+11,t 1 and g t+11,t 1 = w t g (12) 1, + (1 w t) g (12) 2,1. 7 / 27
8 Derive optimal approximation of fixed-horizon forecasts By introducing the vectors G = g 24,23 g 23,22. g 11, 12, A t,12 = 13 t t, B 1 = 12 ω 1 ω 2. ω 24, B 2 = we write the approximation error as linear expression of weight w t : g t+11,t 1 g t+11,t 1 = A t,12g ( w t B 1G + (1 w t ) B 2G ) E = A t,12 B 2 } {{ } :=M t ( + w t B 2 B }{{ 1) G. } :=N [ (g t+11,t 1 g t+11,t 1 ) 2] is a quadratic expression in w t. ω 1 ω 2. ω / 27
9 Optimal weights formula The optimal weight on the current year fixed-event forecast is: w t = M t ΩN / ( NΩN ). Ω is the covariance matrix of vector G of monthly growth rates Ω = E [ (G E [G]) ( G E [ G ])]. Ω needs to account for known and forecasted monthly growth rates in vector G. 9 / 27
10 Characteristics of the optimal weighting approach Optimal weighting approach can account for: type of growth rates embedded in the fixed-event forecasts (annual growth rates, quarterly growth rates,...); (assumptions about) the data generating process; the (assumed) covariance matrix of the data generating process (realized and forecast); discretionary forecast horizons (3-month, 6-month, 24-month); information from additional fixed-event forecasts, but does not consider information contained in previous or later forecasts or from other variables. 1 / 27
11 Properties of the optimal weighting approach Example: Assume data-generating process for the monthly growth rate of the variable: with ε t+1 iid N (, σ 2 ε). g t+1,t µ = ρ (g t,t 1 µ) + ε t+1, Assume that prior s month growth rate is observed, but not the one for the current month. The forecaster makes optimal forecasts. 11 / 27
12 Weight on current-year forecast from two methods w, ρ = w, ρ =.5 w, ρ =.8 w, ρ =.99 w adhoc Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Optimal weights w depending on ρ and ad-hoc weights w adhoc for current-year forecast g (12) 1,. 12 / 27
13 Relative approximation errors ρ = ρ =.5 ρ =.8 ρ = Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Ratio of expected squared approximation error with optimal weights to expected squared approximation error with ad-hoc weights for different values of ρ. 13 / 27
14 Empirical application based on Consensus Economics data Approximate each forecaster s unobservable forecast for CPI and GDP four-quarters-ahead year-on-year quarterly growth rate: g (3) t+4,t = p(3) t+4 p (3) t 1, where p (3) t = 1 3 (p 3(t 1)+1 + p 3(t 1)+2 + p 3(t 1)+3 ), t = 1, 2, 3, 4. using their individual forecasts for annual growth rates of CPI and GDP for current and next year, i.e. g (12) 1, and g (12) 2,1 ; in each March, June, September and December. 14 / 27
15 Assumptions of the optimal approximation method inflation data is known up to the previous month; GDP growth data is available up to previous quarter; both inflation and GDP growth are assumed to be monthly processes; growth rates of both variables are assumed to be iid, so that [ ] Ω = σε 2 I where I is the identity matrix. 15 / 27
16 Comparison of optimal and ad-hoc method weights w w adhoc inflation GDP growth March June September December.8.3. Weights for current-year forecasts In the first three quarters, the ad-hoc approach places (much) larger weight on the current-year forecasts 16 / 27
17 Optimal and ad-hoc approximations for Eurozone (EZ) 3 Euro Zone - Inflation Mean.5 Euro Zone - Inflation Disagreement Euro Zone - GDP Mean 1 Euro Zone - GDP Disagreement True forecast 2.8 Optimal appr. Adhoc appr Actual four-quarter-ahead Consensus mean forecasts and the approximations based on optimal and ad-hoc weights for inflation and GDP growth (left panels) and time series of disagreement (measured by the standard deviation) among the actual individual four-quarter-ahead Consensus forecasts and the approximations based on optimal and ad-hoc weights for inflation and GDP growth (right panels). 17 / 27
18 Relative approximation errors - Mean forecast inflation 2 Inflation Mean, Forecast horizon = 4q USA Japan Germany France UK Italy Canada Netherlands Norway Spain Sweden Switzerland Euro Zone Average Q1 Q2 Q3 Q4 Ratios of the average squared approximation errors using the optimal weights to the average squared approximation errors using the ad-hoc weights for inflation mean forecasts four quarters ahead. 18 / 27
19 Relative approximation errors - Mean forecast GDP growth 2 GDP Mean, Forecast horizon = 4q USA Japan Germany France UK Italy Canada Netherlands Norway Spain Sweden Switzerland Euro Zone Average Q1 Q2 Q3 Q4 Ratios of the average squared approximation errors using the optimal weights to the average squared approximation errors using the ad-hoc weights for GDP growth mean forecasts four quarters ahead. 19 / 27
20 Relative approximation errors - mean forecast Avg US JP GE FR UK IT CA NL NO ES SE CH EZ Inflation MSE ratio GDP growth MSE ratio Ratio of the mean-squared approximation error obtained with optimal weights to the mean-squared approximation error obtained with ad-hoc weights in all quarters. 2 / 27
21 Relative approx. errors - disagreement inflation forecasts 2 Inflation Disagreement, Forecast horizon = 4q USA Japan Germany France UK Italy Canada Netherlands Norway Spain Sweden Switzerland Euro Zone Average Q1 Q2 Q3 Q4 Ratios of the average squared approximation errors using optimal weights to the average squared approximation errors using ad-hoc weights for the standard deviations among individual inflation forecasts four quarters ahead. 21 / 27
22 Relative approx. errors - disagreement future GDP growth USA Japan Germany France UK Italy Canada Netherlands Norway Spain Sweden Switzerland Euro Zone Average GDP Disagreement, Forecast horizon = 4q Q1 Q2 Q3 Q4 Ratios of the average squared approximation errors using optimal weights to the average squared approximation errors using ad-hoc weights for the standard deviations among individual GDP growth forecasts four quarters ahead. Nr. Forecasters 22 / 27
23 Relative approximation errors - forecast disagreement Avg US JP GE FR UK IT CA NL NO ES SE CH EZ Inflation MSE ratio Bias optim ad-hoc Corr. true with optim with ad-hoc GDP growth MSE ratio Bias optim ad-hoc Corr. true with optim with ad-hoc Ratio of the mean-squared approximation error obtained with optimal weights to the mean-squared approximation error obtained with ad-hoc weights in all quarters, together with bias and correlation between true disagreement and disagreement based on the two approximations. 23 / 27
24 Conclusions Optimal approximation... gives easily-computable weights for constructing fixed-horizon forecasts from fixed-event forecasts; is flexible with respect to fixed-horizon forecasts of interest and availability of fixed-event forecasts; significantly decreases the mean-squared approximation error for mean forecasts of inflation and GDP growth empirically; is a first step towards a better measurement of disagreement among forecasters. 24 / 27
25 Background slides 25 / 27
26 Annual growth rates for EZ HICP - forecasts and realizations Euro Zone Consumer Prices Nowcast Realised CPI (at year end) Mean forecast for the year end event 1 Jan28 Jan29 Jan21 Jan211 Jan212 Jan213 Black line represents realized annual growth rate of Eurozone s HICP known (values known just at year end). Blue dots represent monthly individual forecasts of the current year s annual growth rate. Green line represents the mean of these fixed-event forecast. Main 26 / 27
27 Average number of respondents for fixed-event and fixed-horizon forecasts US JP GE FR UK IT CA NL NO ES SE CH EZ inflation fixed horizon fixed event GDP growth fixed horizon fixed event Average number of forecasters for Consensus Economics fixed-horizon (four-quarter-ahead) and fixed-event forecasts. The number displayed for the fixed-event forecasts is the average of the numbers for current- and next-year forecasts which tend to be virtually identical. main 27 / 27
Approximating Fixed-Horizon Forecasts Using Fixed-Event Forecasts
Approximating Fixed-Horizon Forecasts Using Fixed-Event Forecasts Malte Knüppel and Andreea Vladu May 2, 26 Abstract In recent years, survey-based measures of expectations and disagreement have received
More informationApproximating fixed-horizon forecasts using fixed-event forecasts
Approximating fixed-horizon forecasts using fixed-event forecasts Comments by Simon Price Essex Business School June 2016 Redundant disclaimer The views in this presentation are solely those of the presenter
More informationShort-term forecasts of GDP from dynamic factor models
Short-term forecasts of GDP from dynamic factor models Gerhard Rünstler gerhard.ruenstler@wifo.ac.at Austrian Institute for Economic Research November 16, 2011 1 Introduction Forecasting GDP from large
More informationGAMINGRE 8/1/ of 7
FYE 09/30/92 JULY 92 0.00 254,550.00 0.00 0 0 0 0 0 0 0 0 0 254,550.00 0.00 0.00 0.00 0.00 254,550.00 AUG 10,616,710.31 5,299.95 845,656.83 84,565.68 61,084.86 23,480.82 339,734.73 135,893.89 67,946.95
More informationTIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad and Karim Foda
TIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad and Karim Foda Technical Appendix Methodology In our analysis, we employ a statistical procedure called Principal Compon Analysis
More informationTIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad, Karim Foda, and Ethan Wu
TIGER: Tracking Indexes for the Global Economic Recovery By Eswar Prasad, Karim Foda, and Ethan Wu Technical Appendix Methodology In our analysis, we employ a statistical procedure called Principal Component
More informationWHEN IS IT EVER GOING TO RAIN? Table of Average Annual Rainfall and Rainfall For Selected Arizona Cities
WHEN IS IT EVER GOING TO RAIN? Table of Average Annual Rainfall and 2001-2002 Rainfall For Selected Arizona Cities Phoenix Tucson Flagstaff Avg. 2001-2002 Avg. 2001-2002 Avg. 2001-2002 October 0.7 0.0
More informationWeekly price report on Pig carcass (Class S, E and R) and Piglet prices in the EU. Carcass Class S % + 0.3% % 98.
Weekly price report on Pig carcass (Class S, E and R) and Piglet prices in the EU Disclaimer Please note that EU prices for pig meat, are averages of the national prices communicated by Member States weighted
More informationNOWCASTING REPORT. Updated: September 23, 2016
NOWCASTING REPORT Updated: September 23, 216 The FRBNY Staff Nowcast stands at 2.3% and 1.2% for 216:Q3 and 216:Q4, respectively. Negative news since the report was last published two weeks ago pushed
More informationHow Well Are Recessions and Recoveries Forecast? Prakash Loungani, Herman Stekler and Natalia Tamirisa
How Well Are Recessions and Recoveries Forecast? Prakash Loungani, Herman Stekler and Natalia Tamirisa 1 Outline Focus of the study Data Dispersion and forecast errors during turning points Testing efficiency
More informationA look into the factor model black box Publication lags and the role of hard and soft data in forecasting GDP
A look into the factor model black box Publication lags and the role of hard and soft data in forecasting GDP Marta Bańbura and Gerhard Rünstler Directorate General Research European Central Bank November
More informationSYSTEM BRIEF DAILY SUMMARY
SYSTEM BRIEF DAILY SUMMARY * ANNUAL MaxTemp NEL (MWH) Hr Ending Hr Ending LOAD (PEAK HOURS 7:00 AM TO 10:00 PM MON-SAT) ENERGY (MWH) INCREMENTAL COST DAY DATE Civic TOTAL MAXIMUM @Max MINIMUM @Min FACTOR
More informationIntroduction to Forecasting
Introduction to Forecasting Introduction to Forecasting Predicting the future Not an exact science but instead consists of a set of statistical tools and techniques that are supported by human judgment
More informationNOWCASTING REPORT. Updated: October 21, 2016
NOWCASTING REPORT Updated: October 21, 216 The FRBNY Staff Nowcast stands at 2.2% for 216:Q3 and 1.4% for 216:Q4. Overall this week s news had a negative effect on the nowcast. The most notable developments
More informationSeasonality in macroeconomic prediction errors. An examination of private forecasters in Chile
Seasonality in macroeconomic prediction errors. An examination of private forecasters in Chile Michael Pedersen * Central Bank of Chile Abstract It is argued that the errors of the Chilean private forecasters
More informationAD HOC DRAFTING GROUP ON TRANSNATIONAL ORGANISED CRIME (PC-GR-COT) STATUS OF RATIFICATIONS BY COUNCIL OF EUROPE MEMBER STATES
Strasbourg, 29 May 2015 PC-GR-COT (2013) 2 EN_Rev AD HOC DRAFTING GROUP ON TRANSNATIONAL ORGANISED CRIME (PC-GR-COT) STATUS OF RATIFICATIONS BY COUNCIL OF EUROPE MEMBER STATES TO THE UNITED NATIONS CONVENTION
More informationForecasting the Canadian Dollar Exchange Rate Wissam Saleh & Pablo Navarro
Forecasting the Canadian Dollar Exchange Rate Wissam Saleh & Pablo Navarro Research Question: What variables effect the Canadian/US exchange rate? Do energy prices have an effect on the Canadian/US exchange
More informationNOWCASTING REPORT. Updated: January 4, 2019
NOWCASTING REPORT Updated: January 4, 2019 The New York Fed Staff Nowcast stands at 2.5% for 2018:Q4 and 2.1% for 2019:Q1. News from this week s data releases left the nowcast for both quarters broadly
More informationEuro-indicators Working Group
Euro-indicators Working Group Luxembourg, 9 th & 10 th June 2011 Item 9.4 of the Agenda New developments in EuroMIND estimates Rosa Ruggeri Cannata Doc 309/11 What is EuroMIND? EuroMIND is a Monthly INDicator
More informationSYSTEM BRIEF DAILY SUMMARY
SYSTEM BRIEF DAILY SUMMARY * ANNUAL MaxTemp NEL (MWH) Hr Ending Hr Ending LOAD (PEAK HOURS 7:00 AM TO 10:00 PM MON-SAT) ENERGY (MWH) INCREMENTAL COST DAY DATE Civic TOTAL MAXIMUM @Max MINIMUM @Min FACTOR
More informationDetermine the trend for time series data
Extra Online Questions Determine the trend for time series data Covers AS 90641 (Statistics and Modelling 3.1) Scholarship Statistics and Modelling Chapter 1 Essent ial exam notes Time series 1. The value
More informationLong-term Water Quality Monitoring in Estero Bay
Long-term Water Quality Monitoring in Estero Bay Keith Kibbey Laboratory Director Lee County Environmental Laboratory Division of Natural Resource Management Estero Bay Monitoring Programs Three significant
More informationWHO EpiData. A monthly summary of the epidemiological data on selected Vaccine preventable diseases in the WHO European Region
A monthly summary of the epidemiological data on selected Vaccine preventable diseases in the WHO European Region Table 1: Reported cases for the period January December 2018 (data as of 01 February 2019)
More informationTechnical note on seasonal adjustment for M0
Technical note on seasonal adjustment for M0 July 1, 2013 Contents 1 M0 2 2 Steps in the seasonal adjustment procedure 3 2.1 Pre-adjustment analysis............................... 3 2.2 Seasonal adjustment.................................
More informationNOWCASTING REPORT. Updated: July 20, 2018
NOWCASTING REPORT Updated: July 20, 2018 The New York Fed Staff Nowcast stands at 2.7% for 2018:Q2 and 2.4% for 2018:Q3. News from this week s data releases decreased the nowcast for 2018:Q2 by 0.1 percentage
More informationNOWCASTING REPORT. Updated: August 17, 2018
NOWCASTING REPORT Updated: August 17, 2018 The New York Fed Staff Nowcast for 2018:Q3 stands at 2.4%. News from this week s data releases decreased the nowcast for 2018:Q3 by 0.2 percentage point. Negative
More informationNOWCASTING REPORT. Updated: May 5, 2017
NOWCASTING REPORT Updated: May 5, 217 The FRBNY Staff Nowcast stands at 1.8% for 217:Q2. News from this week s data releases reduced the nowcast for Q2 by percentage point. Negative surprises from the
More informationWHO EpiData. A monthly summary of the epidemiological data on selected Vaccine preventable diseases in the European Region
A monthly summary of the epidemiological data on selected Vaccine preventable diseases in the European Region Table : Reported measles cases for the period July 207 June 208 (data as of August 208) Population
More informationNOWCASTING REPORT. Updated: February 22, 2019
NOWCASTING REPORT Updated: February 22, 2019 The New York Fed Staff Nowcast stands at 2.3% for 2018:Q4 and 1.2% for 2019:Q1. News from this week s data releases increased the nowcast for both 2018:Q4 and
More informationNOWCASTING REPORT. Updated: September 14, 2018
NOWCASTING REPORT Updated: September 14, 2018 The New York Fed Staff Nowcast stands at 2.2% for 2018:Q3 and 2.8% for 2018:Q4. This week s data releases left the nowcast for both quarters broadly unchanged.
More informationDAILY QUESTIONS 28 TH JUNE 18 REASONING - CALENDAR
DAILY QUESTIONS 28 TH JUNE 18 REASONING - CALENDAR LEAP AND NON-LEAP YEAR *A non-leap year has 365 days whereas a leap year has 366 days. (as February has 29 days). *Every year which is divisible by 4
More informationWHO EpiData. A monthly summary of the epidemiological data on selected Vaccine preventable diseases in the European Region
A monthly summary of the epidemiological data on selected Vaccine preventable diseases in the European Region Table : Reported cases for the period September 207 August 208 (data as of 0 October 208) Population
More informationJackson County 2013 Weather Data
Jackson County 2013 Weather Data 61 Years of Weather Data Recorded at the UF/IFAS Marianna North Florida Research and Education Center Doug Mayo Jackson County Extension Director 1952-2008 Rainfall Data
More informationNOWCASTING REPORT. Updated: September 7, 2018
NOWCASTING REPORT Updated: September 7, 2018 The New York Fed Staff Nowcast stands at 2.2% for 2018:Q3 and 2.8% for 2018:Q4. News from this week s data releases increased the nowcast for 2018:Q3 by 0.2
More informationMixed frequency models with MA components
Mixed frequency models with MA components Claudia Foroni a Massimiliano Marcellino b Dalibor Stevanović c a Deutsche Bundesbank b Bocconi University, IGIER and CEPR c Université du Québec à Montréal September
More informationForecasting. Copyright 2015 Pearson Education, Inc.
5 Forecasting To accompany Quantitative Analysis for Management, Twelfth Edition, by Render, Stair, Hanna and Hale Power Point slides created by Jeff Heyl Copyright 2015 Pearson Education, Inc. LEARNING
More informationWHO EpiData. A monthly summary of the epidemiological data on selected Vaccine preventable diseases in the European Region
A monthly summary of the epidemiological data on selected Vaccine preventable diseases in the European Region Table : Reported measles cases for the period January December 207 (data as of 02 February
More informationAnnual Average NYMEX Strip Comparison 7/03/2017
Annual Average NYMEX Strip Comparison 7/03/2017 To Year to Year Oil Price Deck ($/bbl) change Year change 7/3/2017 6/1/2017 5/1/2017 4/3/2017 3/1/2017 2/1/2017-2.7% 2017 Average -10.4% 47.52 48.84 49.58
More informationAdverse Effects of Monetary Policy Signalling
Adverse Effects of Monetary Policy Signalling Jan FILÁČEK and Jakub MATĚJŮ Monetary Department Czech National Bank CNB Research Open Day, 18 th May 21 Outline What do we mean by adverse effects of monetary
More informationCalculations Equation of Time. EQUATION OF TIME = apparent solar time - mean solar time
Calculations Equation of Time APPARENT SOLAR TIME is the time that is shown on sundials. A MEAN SOLAR DAY is a constant 24 hours every day of the year. Apparent solar days are measured from noon one day
More informationDrought in Southeast Colorado
Drought in Southeast Colorado Nolan Doesken and Roger Pielke, Sr. Colorado Climate Center Prepared by Tara Green and Odie Bliss http://climate.atmos.colostate.edu 1 Historical Perspective on Drought Tourism
More informationRecord date Payment date PID element Non-PID element. 08 Sep Oct p p. 01 Dec Jan p 9.85p
2017/18 Record date Payment date PID element Non-PID element 08 Sep 17 06 Oct 17 9.85p - 9.85p 01 Dec 17 05 Jan 18-9.85p 9.85p 09 Mar 18 06 Apr 18 9.85p - 9.85p Final 22 Jun 18 27 Jul 18 14.65p - 14.65p
More informationJayalath Ekanayake Jonas Tappolet Harald Gall Abraham Bernstein. Time variance and defect prediction in software projects: additional figures
Jayalath Ekanayake Jonas Tappolet Harald Gall Abraham Bernstein TECHNICAL REPORT No. IFI-2.4 Time variance and defect prediction in software projects: additional figures 2 University of Zurich Department
More informationWHO EpiData. A monthly summary of the epidemiological data on selected Vaccine preventable diseases in the European Region
A monthly summary of the epidemiological data on selected Vaccine preventable diseases in the European Region Table : Reported cases for the period June 207 May 208 (data as of 0 July 208) Population in
More informationBAYESIAN PROCESSOR OF ENSEMBLE (BPE): PRIOR DISTRIBUTION FUNCTION
BAYESIAN PROCESSOR OF ENSEMBLE (BPE): PRIOR DISTRIBUTION FUNCTION Parametric Models and Estimation Procedures Tested on Temperature Data By Roman Krzysztofowicz and Nah Youn Lee University of Virginia
More informationFactor Mimicking Portfolios
Factor Mimicking Portfolios Bernt Arne Ødegaard 25 October 2018 Contents 1 Factor Mimicking Portfolios 1 1.1 Economic Tracking Portfolios.................................................. 1 1.2 Example.............................................................
More informationPredicting economic turning points by professional forecasters -Are they useful?
Predicting economic turning points by professional forecasters -Are they useful? 21 Feb 2013 Nobuo Iizuka KANAGAWA University nobuo iizuka 0915@kanagawa u.ac.jp Motivation Evaluating Economic forecasting
More informationJackson County 2018 Weather Data 67 Years of Weather Data Recorded at the UF/IFAS Marianna North Florida Research and Education Center
Jackson County 2018 Weather Data 67 Years of Weather Data Recorded at the UF/IFAS Marianna North Florida Research and Education Center Doug Mayo Jackson County Extension Director 1952-2008 Rainfall Data
More informationThe Blue Chip Survey: Moving Beyond the Consensus
The Useful Role of Forecast Surveys Sponsored by NABE ASSA Annual Meeting, January 7, 2005 The Blue Chip Survey: Moving Beyond the Consensus Kevin L. Kliesen, Economist Work in Progress Not to be quoted
More informationˆ GDP t = GDP t SCAN t (1) t stat : (3.71) (5.53) (3.27) AdjustedR 2 : 0.652
We study the relationship between SCAN index and GDP growth for some major countries. The SCAN data is taken as of Oct. The SCAN is of monthly frequency so we first compute its three-month average as quarterly
More informationForecasting using R. Rob J Hyndman. 1.3 Seasonality and trends. Forecasting using R 1
Forecasting using R Rob J Hyndman 1.3 Seasonality and trends Forecasting using R 1 Outline 1 Time series components 2 STL decomposition 3 Forecasting and decomposition 4 Lab session 5 Forecasting using
More informationTime Series Analysis
Time Series Analysis A time series is a sequence of observations made: 1) over a continuous time interval, 2) of successive measurements across that interval, 3) using equal spacing between consecutive
More informationFORECASTING COARSE RICE PRICES IN BANGLADESH
Progress. Agric. 22(1 & 2): 193 201, 2011 ISSN 1017-8139 FORECASTING COARSE RICE PRICES IN BANGLADESH M. F. Hassan*, M. A. Islam 1, M. F. Imam 2 and S. M. Sayem 3 Department of Agricultural Statistics,
More informationWHO EpiData. A monthly summary of the epidemiological data on selected Vaccine preventable diseases in the WHO European Region
A monthly summary of the epidemiological data on selected Vaccine preventable diseases in the WHO European Region Table : Reported cases for the period November 207 October 208 (data as of 30 November
More informationChanging Hydrology under a Changing Climate for a Coastal Plain Watershed
Changing Hydrology under a Changing Climate for a Coastal Plain Watershed David Bosch USDA-ARS, Tifton, GA Jeff Arnold ARS Temple, TX and Peter Allen Baylor University, TX SEWRU Objectives 1. Project changes
More informationREPORT ON LABOUR FORECASTING FOR CONSTRUCTION
REPORT ON LABOUR FORECASTING FOR CONSTRUCTION For: Project: XYZ Local Authority New Sample Project Contact us: Construction Skills & Whole Life Consultants Limited Dundee University Incubator James Lindsay
More informationWHO EpiData. A monthly summary of the epidemiological data on selected vaccine preventable diseases in the European Region
A monthly summary of the epidemiological data on selected vaccine preventable diseases in the European Region Table 1: Reported measles cases for the 12-month period February 2016 January 2017 (data as
More informationEVALUATION OF ALGORITHM PERFORMANCE 2012/13 GAS YEAR SCALING FACTOR AND WEATHER CORRECTION FACTOR
EVALUATION OF ALGORITHM PERFORMANCE /3 GAS YEAR SCALING FACTOR AND WEATHER CORRECTION FACTOR. Background The annual gas year algorithm performance evaluation normally considers three sources of information
More informationThe Measurement and Characteristics of Professional Forecasters Uncertainty. Kenneth F. Wallis. Joint work with Gianna Boero and Jeremy Smith
Seventh ECB Workshop on Forecasting Techniques The Measurement and Characteristics of Professional Forecasters Uncertainty Kenneth F. Wallis Emeritus Professor of Econometrics, University of Warwick http://go.warwick.ac.uk/kfwallis
More informationOn the maximum and minimum response to an impulse in Svars
On the maximum and minimum response to an impulse in Svars Bulat Gafarov (PSU), Matthias Meier (UBonn), and José-Luis Montiel-Olea (NYU) September 23, 2015 1 / 58 Introduction Structural VAR: Theoretical
More informationJRC MARS Bulletin Crop monitoring in Europe January 2019
Online version Issued: 21 January 2019 r JRC MARS Bulletin Vol. 27 No 1 JRC MARS Bulletin Crop monitoring in Europe January 2019 Continued mild winter Improved hardening of winter cereals in central and
More information5. Atmospheric Supply of Mercury to the Baltic Sea in 2015
Atmospheric Supply of Mercury to the Baltic Sea in 2015 69 5. Atmospheric Supply of Mercury to the Baltic Sea in 2015 In this chapter the results of model evaluation of mercury atmospheric input to the
More informationGTR # VLTs GTR/VLT/Day %Δ:
MARYLAND CASINOS: MONTHLY REVENUES TOTAL REVENUE, GROSS TERMINAL REVENUE, WIN/UNIT/DAY, TABLE DATA, AND MARKET SHARE CENTER FOR GAMING RESEARCH, DECEMBER 2017 Executive Summary Since its 2010 casino debut,
More informationENGINE SERIAL NUMBERS
ENGINE SERIAL NUMBERS The engine number was also the serial number of the car. Engines were numbered when they were completed, and for the most part went into a chassis within a day or so. However, some
More informationLife Cycle of Convective Systems over Western Colombia
Life Cycle of Convective Systems over Western Colombia Meiry Sakamoto Uiversidade de São Paulo, São Paulo, Brazil Colombia Life Cycle of Convective Systems over Western Colombia Convective System (CS)
More informationBUSI 460 Suggested Answers to Selected Review and Discussion Questions Lesson 7
BUSI 460 Suggested Answers to Selected Review and Discussion Questions Lesson 7 1. The definitions follow: (a) Time series: Time series data, also known as a data series, consists of observations on a
More informationCITY OF MESQUITE Quarterly Investment Report Overview Quarter Ending June 30, 2018
CITY OF MESQUITE Quarterly Investment Report Overview Quarter Ending June 30, 2018 Investment objectives are safety, liquidity, yield and public trust. Portfolio objective is to meet or exceed the average
More informationRob J Hyndman. Forecasting using. 3. Autocorrelation and seasonality OTexts.com/fpp/2/ OTexts.com/fpp/6/1. Forecasting using R 1
Rob J Hyndman Forecasting using 3. Autocorrelation and seasonality OTexts.com/fpp/2/ OTexts.com/fpp/6/1 Forecasting using R 1 Outline 1 Time series graphics 2 Seasonal or cyclic? 3 Autocorrelation Forecasting
More informationNOWCASTING REPORT. Updated: November 30, 2018
NOWCASTING REPORT Updated: November 30, 2018 The New York Fed Staff Nowcast for 2018:Q4 stands at 2.5%. News from this week s data releases left the nowcast for 2018:Q4 broadly unchanged. A negative surprise
More informationThe Information Content of Capacity Utilisation Rates for Output Gap Estimates
The Information Content of Capacity Utilisation Rates for Output Gap Estimates Michael Graff and Jan-Egbert Sturm 15 November 2010 Overview Introduction and motivation Data Output gap data: OECD Economic
More informationMonthly Trading Report Trading Date: Dec Monthly Trading Report December 2017
Trading Date: Dec 7 Monthly Trading Report December 7 Trading Date: Dec 7 Figure : December 7 (% change over previous month) % Major Market Indicators 5 4 Figure : Summary of Trading Data USEP () Daily
More informationChanges in spatial distribution of chub mackerel under climate change: the case study using Japanese purse seine fisheries data in the East China Sea
Changes in spatial distribution of chub mackerel under climate change: the case study using Japanese purse seine fisheries data in the East China Sea Tohya Yasuda, Ryuji Yukami, Seiji Ohshimo Seikai National
More informationWinter Season Resource Adequacy Analysis Status Report
Winter Season Resource Adequacy Analysis Status Report Tom Falin Director Resource Adequacy Planning Markets & Reliability Committee October 26, 2017 Winter Risk Winter Season Resource Adequacy and Capacity
More informationInflation Report April June 2012
August, 212 Outline 1. External Conditions 2. Economic Activity in Mexico 3. Monetary Policy and Inflation Determinants. Forecasts and Balance of Risks External Conditions Global economic growth slowed
More informationHazard assessment based on radar-based rainfall nowcasts at European scale The HAREN project
Hazard assessment based on radar-based rainfall nowcasts at European scale The HAREN project Marc Berenguer, Daniel Sempere-Torres 3 OPERA radar mosaic OPERA radar mosaic: 213919 133 Precipitation observations
More informationEUROINDICATORS WORKING GROUP THE IMPACT OF THE SEASONAL ADJUSTMENT PROCESS OF BUSINESS TENDENCY SURVEYS ON TURNING POINTS DATING
EUROINDICATORS WORKING GROUP 11 TH MEETING 4 & 5 DECEMBER 2008 EUROSTAT D1 DOC 239/08 THE IMPACT OF THE SEASONAL ADJUSTMENT PROCESS OF BUSINESS TENDENCY SURVEYS ON TURNING POINTS DATING ITEM 6.2 ON THE
More information= observed volume on day l for bin j = base volume in jth bin, and = residual error, assumed independent with mean zero.
QB research September 4, 06 Page -Minute Bin Volume Forecast Model Overview In response to strong client demand, Quantitative Brokers (QB) has developed a new algorithm called Closer that specifically
More informationJackson County 2014 Weather Data
Jackson County 2014 Weather Data 62 Years of Weather Data Recorded at the UF/IFAS Marianna North Florida Research and Education Center Doug Mayo Jackson County Extension Director 1952-2008 Rainfall Data
More informationSupplementary appendix
Supplementary appendix This appendix formed part of the original submission and has been peer reviewed. We post it as supplied by the authors. Supplement to: Lowe R, Stewart-Ibarra AM, Petrova D, et al.
More informationTemporal Trends in Forest Fire Season Length
Temporal Trends in Forest Fire Season Length Alisha Albert-Green aalbertg@sfu.ca Department of Statistics and Actuarial Science Simon Fraser University Stochastic Modelling of Forest Dynamics Webinar March
More informationTechnical note on seasonal adjustment for Capital goods imports
Technical note on seasonal adjustment for Capital goods imports July 1, 2013 Contents 1 Capital goods imports 2 1.1 Additive versus multiplicative seasonality..................... 2 2 Steps in the seasonal
More informationIntroduction to Modern Time Series Analysis
Introduction to Modern Time Series Analysis Gebhard Kirchgässner, Jürgen Wolters and Uwe Hassler Second Edition Springer 3 Teaching Material The following figures and tables are from the above book. They
More informationYACT (Yet Another Climate Tool)? The SPI Explorer
YACT (Yet Another Climate Tool)? The SPI Explorer Mike Crimmins Assoc. Professor/Extension Specialist Dept. of Soil, Water, & Environmental Science The University of Arizona Yes, another climate tool for
More informationESURFMAR Report to DBCP
ESURFMAR Report to DBCP by Jean Rolland, Pierre Blouch, Michel Trémant DBCP 23 -Jeju 15-19 October ESURFMAR E-SURFMAR is an optional programme of the ground based EUMETNET Composite Observing System (EUCOS)
More informationSalem Economic Outlook
Salem Economic Outlook November 2012 Tim Duy, PHD Prepared for the Salem City Council November 7, 2012 Roadmap US Economic Update Slow and steady Positives: Housing/monetary policy Negatives: Rest of world/fiscal
More informationLearning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts
Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts Andrew Patton and Allan Timmermann Oxford and UC-San Diego November 2007 Motivation Uncertainty about macroeconomic
More informationNOWCASTING REPORT. Updated: April 15, 2016
NOWCASTING REPORT Updated: April 15, 2016 GDP growth prospects remain moderate for the rst half of the year: the nowcasts stand at 0.8% for 2016:Q1 and 1.2% for 2016:Q2. News from this week's data releases
More informationTo understand the behavior of NR prices across key markets, during , with focus on:
Jom Jacob The Rubber Board*, India (* The views presented here do not necessarily imply those of the organization ) To understand the behavior of NR prices across key markets, during 7-2012, with focus
More informationLesson 8: Variability in a Data Distribution
Classwork Example 1: Comparing Two Distributions Robert s family is planning to move to either New York City or San Francisco. Robert has a cousin in San Francisco and asked her how she likes living in
More informationMonthly Trading Report July 2018
Monthly Trading Report July 218 Figure 1: July 218 (% change over previous month) % Major Market Indicators 2 2 4 USEP Forecasted Demand CCGT/Cogen/Trigen Supply ST Supply Figure 2: Summary of Trading
More informationDROUGHT INDICES BEING USED FOR THE GREATER HORN OF AFRICA (GHA)
DROUGHT INDICES BEING USED FOR THE GREATER HORN OF AFRICA (GHA) Christopher Oludhe IGAD Climate Prediction and Applications Centre (ICPAC) Inter-Regional Workshop on Indices and Early Warning Systems for
More informationAlterations to the Flat Weight For Age Scale BHA Data Published 22 September 2016
Alterations to the Flat Weight For Age Scale BHA Data Published 22 September 2016 Introduction What is weight for age? It is an allowance given to younger horses, usually three-year-olds, to enable them
More informationLecture Prepared By: Mohammad Kamrul Arefin Lecturer, School of Business, North South University
Lecture 15 20 Prepared By: Mohammad Kamrul Arefin Lecturer, School of Business, North South University Modeling for Time Series Forecasting Forecasting is a necessary input to planning, whether in business,
More informationCloudSat Data Processing Center (DPC)
CloudSat Data Processing Center (DPC) CloudSat Data Processing and R05 Processing Plan CloudSat Data Processing Center Overview 1 C l o u d S a t: Data Capture Stats The USAF has collected 99.97% of all
More informationTime series and Forecasting
Chapter 2 Time series and Forecasting 2.1 Introduction Data are frequently recorded at regular time intervals, for instance, daily stock market indices, the monthly rate of inflation or annual profit figures.
More informationScarborough Tide Gauge
Tide Gauge Location OS: 504898E 488622N WGS84: Latitude: 54 16' 56.990"N Longitude: 00 23' 25.0279"W Instrument Valeport 740 (Druck Pressure Transducer) Benchmarks Benchmark Description TGBM = 4.18m above
More informationCIMA Professional
CIMA Professional 201819 Birmingham Interactive Timetable Version 3.1 Information last updated 12/10/18 Please note: Information and dates in this timetable are subject to change. A better way of learning
More informationCIMA Professional 2018
CIMA Professional 2018 Interactive Timetable Version 16.25 Information last updated 06/08/18 Please note: Information and dates in this timetable are subject to change. A better way of learning that s
More informationCIMA Professional
CIMA Professional 201819 Manchester Interactive Timetable Version 3.1 Information last updated 12/10/18 Please note: Information and dates in this timetable are subject to change. A better way of learning
More informationDates and Prices ICAEW - Manchester In Centre Programme Prices
Dates and Prices ICAEW - Manchester - 2019 In Centre Programme Prices Certificate Level GBP ( ) Intensive Accounting 690 Assurance 615 Law 615 Business, Technology and Finance 615 Mangement Information
More information