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on Forecasting |
| By: | George Athanasopoulos; Rob J. Hyndman |
| Abstract: | In this paper, we model and forecast Australian domestic tourism demand. We use a regression framework to estimate important economic relationships for domestic tourism demand. We also identify the impact of world events such as the 2000 Sydney Olympics and the 2002 Bali bombings on Australian domestic tourism. To explore the time series nature of the data, we use innovation state space models to forecast the domestic tourism demand. Combining these two frameworks, we build innovation state space models with exogenous variables. These models are able to capture the time series dynamics in the data, as well as economic and other relationships. We show that these models outperform alternative approaches for short-term forecasting and also produce sensible long-term forecasts. The forecasts are compared with the official Australian government forecasts, which are found to be more optimistic than our forecasts. |
| Keywords: | Australia, domestic tourism, exponential smoothing, forecasting, innovation state space models. |
| JEL: | C13 C22 C53 |
| Date: | 2006–10 |
| URL: | http://d.repec.org/n?u=RePEc:msh:ebswps:2006-19&r=for |
| By: | De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia |
| Abstract: | This paper considers Bayesian regression with normal and double exponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range of prior choices. Moreover, we study the asymptotic properties of the Bayesian regression under Gaussian prior under the assumption that data are quasi collinear to establish a criterion for setting parameters in a large cross-section. |
| Keywords: | Bayesian VAR; large cross-sections; Lasso regression; principal components; ridge regressions |
| JEL: | C11 C13 C33 C53 |
| Date: | 2006–09 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:5829&r=for |
| By: | Assenmacher-Wesche, Katrin; Gerlach, Stefan |
| Abstract: | While monetary targeting has become increasingly rare, many central banks attach weight to money growth in setting interest rates. This raises the issue of how money can be combined with other variables, in particular the output gap, when analysing inflation. The Swiss National Bank emphasises that the indicators it uses to do so vary across forecasting horizons. While real indicators are employed for short-run forecasts, money growth is more important at longer horizons. Using band spectral regressions and causality tests in the frequency domain, we show that this interpretation of the inflation process fits the data well. |
| Keywords: | frequency domain; Phillips curve; quantity theory; spectral regression |
| JEL: | C22 E3 E5 |
| Date: | 2006–06 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:5723&r=for |
| By: | Sjöberg, Lennart (Center for Risk Research) |
| Abstract: | In this study, 4 groups of people made prognostic judgments of the outcome of the Swedish Parliamentary election in the fall of 2006, about one week before the election. The groups consisted of members of the public (N=123), political scientists (N=53), journalists writing about domestic politics in Swedish daily newspapers (N=32), and journalists who were editing sections of readers’ letters in daily newspapers (N=10). They rated, for each of seven political parties, which percentage of the votes that they believed they would get in the election. They also marked which party they themselves preferred, and answered to a few questions about interest and competence. Data were then obtained on the outcome of the election, and on the two opinions polls closest in time to it. It was found that all four groups did reasonably well, when average prognostic judgments were compared to the outcome of the election, and better than the opinion polls. The two last polls overestimated the span between the incumbent government and the victorious opposition by a factor of 2. Wishful thinking was assessed by comparing prognostic judgments for each respondent’s preferred party with his or her judgments of other parties. All groups showed some wishful thinking; the political scientists least and the public most. There were large and consistent individual differences in prognostic ability. Men performed better than women, as did those who expressed more interest and knowledge in politics, but neither level of education nor confidence in making the judgments correlated significantly with performance. |
| Keywords: | prognostic judgments; experts; poltical elections |
| Date: | 2006–10–03 |
| URL: | http://d.repec.org/n?u=RePEc:hhb:hastba:2006_009&r=for |