nep-ets 2008-12-21 papers

on Econometric Time Series

Issue of 2008‒12‒21
two papers chosen by
Yong Yin
SUNY at Buffalo

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

Filtered Log-periodogram Regression of long memory processes

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
URL:	http://d.repec.org/n?u=RePEc:knz:cofedp:0810&r=ets

Forecast with judgment and models

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
URL:	http://d.repec.org/n?u=RePEc:nbb:reswpp:200812-2&r=ets

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