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1999

Articles 1 - 6 of 6

Full-Text Articles in Econometrics

Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange, Francis X. Diebold, Jinyong Hahn, Anthony S. Tay Nov 1999

Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange, Francis X. Diebold, Jinyong Hahn, Anthony S. Tay

Research Collection School Of Economics

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions under which a technique of density forecast calibration can be used to improve deficient density forecasts, and we show how the calibration method can be used to generate good density forecasts from econometric models, even when the conditional density is unknown. Finally, motivated by recent advances in financial risk management, we provide a detailed application to multivariate high-frequency exchange rate density forecasts. © …

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The Challenge Of Administration By Regulation: Preliminary Findings Regarding The U.S. Government's Venture Capital Funds, Jonathan G.S. Koppell Oct 1999

The Challenge Of Administration By Regulation: Preliminary Findings Regarding The U.S. Government's Venture Capital Funds, Jonathan G.S. Koppell

Publications from President Jonathan G.S. Koppell

This article assesses the ability of elected officials to control public policy as implemented by public/private hybrid organizations, specifically, government venture capital funds. The study reveals greater control over OPIC investment funds than Enterprise Funds despite the existence of more traditional administrative tools of control for Enterprise Funds. This finding suggests that the regulatory infrastructure for hybrid organizations is more determinative of control than the existence (or lack) of traditional administrative control tools. Thus the challenge of hybrid government centers on the development of regulation as a substitute for administration.

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How Useful Are Forecasts Of Corporate Profits, Dean D. Croushore Sep 1999

How Useful Are Forecasts Of Corporate Profits, Dean D. Croushore

Economics Faculty Publications

If forecasters predict higher earnings for corporations, the stock market will rise. Stock prices will drop with a forecast of lower earnings. But are such forecasts on the money? Dean Croushore uses data from the Survey of Professional Forecasters to check the accuracy of forecasts of corporate profits. The results show that, despite the volatility of corporate profits, the forecasts are rational.

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Level Adjusted Exponential Smoothing: A Method For Judgmentally Adjusting Exponential Smoothing Models For Planned Discontinuities, Dan Williams, Don Miller Jul 1999

Level Adjusted Exponential Smoothing: A Method For Judgmentally Adjusting Exponential Smoothing Models For Planned Discontinuities, Dan Williams, Don Miller

Publications and Research

Forecasters often make judgmental adjustments to exponential smoothing forecasts to account for the effects of a future planned change. While this approach may produce sound initial forecasts, it can result in diminished accuracy for forecast updates. A proposed technique lets the forecaster include policy change adjustments within an exponential smoothing model. For 20 real data series representing Virginia Medicaid expenses, initial forecasts and forecast updates are developed using the proposed technique and several alternatives, and they are updated through various simulated level shifts. The proposed technique was more accurate than the alternatives in updating forecasts when a shift in level …

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Estimating A Transformation And Its Effect On Box-Cox T-Ratio, Zhenlin Yang Jun 1999

Estimating A Transformation And Its Effect On Box-Cox T-Ratio, Zhenlin Yang

Research Collection School Of Economics

This article concerns i) the stochastic behavior of the Box-Cox transformation estimator and ii) the effect of estimating a transformation on the Box-CoxT-ratio used for the post-transformation analysis. It is shown that the transformation estimator depends on three factors: the model structure, the mean-spread and the error standard deviation σ0. In general, a structured model is able to estimate the transformation very well; an unstructured model can do well also unless the mean-spread and σ0 are both small; and a one-mean mode can give a poor-estimate if σ0 is small. When the sample is not large, it is shown that …

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Evaluating Density Forecasts Of Inflation: The Survey Of Professional Forecasters, Francis X. Diebold, Anthony S. Tay, Kenneth F. Wallis Jan 1999

Evaluating Density Forecasts Of Inflation: The Survey Of Professional Forecasters, Francis X. Diebold, Anthony S. Tay, Kenneth F. Wallis

Research Collection School Of Economics

Since 1968, the Survey of Professional Forecasters has asked respondents to provide a complete probability distribution of expected future inflation. We evaluate the adequacy of those density forecasts using the framework of Diebold, Gunther and Tay (1997). The analysis reveals several interesting features of the density forecasts in relation to realized inflation including several deficiencies of the forecasts. The probability of a large negative inflation shock is generally overestimated, and in more recent years the probability of a large shock of either sign is overestimated. Inflation surprises are serially correlated eventually adapt. Expectations of low inflation are associated with reduced …

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