nep-ets New Economics Papers
on Econometric Time Series
Issue of 2008‒12‒21
two papers chosen by
Yong Yin
SUNY at Buffalo

  1. Filtered Log-periodogram Regression of long memory processes By Jan Beran; Yuanhua Feng
  2. Forecast with judgment and models By Francesca Monti

  1. By: Jan Beran (Universität Konstanz); Yuanhua Feng
    Abstract: Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic properties are derived and the effect of filtering on ˆ d is investigated. It is shown that the estimator by Geweke and Porter-Hudak (1983) can be improved significantly using a simple family of filters. The essential improvement is based on a binary decision that is asymptotically correct with probability one. The idea is closely related to the well known technique of pre-whitening.
    Date: 2008–11–01
  2. By: Francesca Monti (ECARES, Université Libre de Bruxelles)
    Abstract: This paper proposes a simple and model-consistent method for combining forecasts generated by structural micro-founded models and judgmental forecasts. The method also enables the judgmental forecasts to be interpreted through the lens of the model. We illustrate the proposed methodology with a real-time forecasting exercise, using a simple neo-Keynesian dynamic stochastic general equilibrium model and prediction from the Survey of Professional Forecasters
    Keywords: forecasting, judgment, structural models, Kalman Filter, real time
    JEL: C32 C53
    Date: 2008–12

This nep-ets issue is ©2008 by Yong Yin. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
General information on the NEP project can be found at For comments please write to the director of NEP, Marco Novarese at <>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.