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on Forecasting |
| By: | Mehmet Balcilar (Department of Economics, Eastern Mediterranean University, Famagusta, North Cyprus,via Mersin 10, Turkey); Rangan Gupta (Department of Economics, University of Pretoria); Anandamayee Majumdar (School of Mathematical & Statistical Sciences, Arizona State University); Stephen M. Miller (College of Business, University of Las Vegas, Nevada) |
| Abstract: | This paper provides out-of-sample forecasts of Nevada gross gaming revenue and taxable sales using a battery of linear and non-linear forecasting models and univariate and multivariate techniques. The linear models include vector autoregressive and vector error-correction models with and without Bayesian priors. The non-linear models include non-parametric and semiparametric models, smooth transition autoregressive models and artificial neural network autoregressive models. In addition to gross gaming revenue and taxable sales, we employ recently constructed coincident and leading employment indexes for Nevada’s economy. We conclude that non-linear models generally outperform linear models in forecasting future movements in gross gaming revenue and taxable sales. |
| Keywords: | Forecasting, Linear and non-linear models, Nevada gross gaming revenue, Nevada taxable sales |
| JEL: | C32 R31 |
| Date: | 2010–07 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:201018&r=for |
| By: | Theodore Panagiotidis (Department Of Economics, University Of Macedonia, Thessaloniki, Greece; The Rimini Centre for Economic Analysis (RCEA), Italy) |
| Abstract: | This paper employs a local information, nearest neighbour forecasting methodology to test for evidence of nonlinearity in financial time series. Evidence from well-known data generating process are provided and compared with returns from the Athens stock exchange given the in-sample evidence of nonlinear dynamics that has appeared in the literature. Nearest neighbour forecasts fail to produce more accurate forecasts from a simple AR model. This does not substantiate the presence of in-sample nonlinearity in the series. |
| Keywords: | nearest neighbour, nonlinearity |
| JEL: | C22 C53 G10 |
| Date: | 2010–01 |
| URL: | http://d.repec.org/n?u=RePEc:rim:rimwps:20_10&r=for |
| By: | Schmidt, Sandra; Nautz, Dieter |
| Abstract: | This paper investigates why financial market experts misperceive the interest rate policy of the European Central Bank (ECB). Assuming a Taylor-rule-type reaction function of the ECB, we use qualitative survey data on expectations about the future interest rate, inflation, and output to discover the sources of individual interest rate forecast errors. Based on a panel random coefficient model, we show that financial experts have systematically misperceived the ECB's interest rate rule. However, although experts tend to overestimate the impact of inflation on future interest rates, perceptions of monetary policy have become more accurate since clarification of the ECB's monetary policy strategy in May 2003. We find that this improved communication has reduced disagreement over the ECB's response to expected inflation during the financial crisis. -- |
| Keywords: | Central bank communication,Interest rate forecasts,Survey expectations,Panel random coefficient model |
| JEL: | E47 E52 E58 C23 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:zewdip:10045&r=for |
| By: | Angelo Melino (University of Toronto); Michael Parkin (University of Western Ontario) |
| Abstract: | Financial market participants would benefit from a better understanding of how the Bank of Canada sets the overnight interest rate in response to economic developments. More accurate forecasts of the Bank’s future policy choices would lead to better financial decisions and better price and wage-setting decisions, making it easier for the Bank to hit its 2 percent inflation target. Currently, the Bank’s internal model predicts a path for the overnight rate that is inconsistent with the expectations of the Bank’s Governing Council. The Bank could achieve greater transparency by publishing its own conditional forecasts of the future path of the overnight rate or, failing that, by publishing such forecasts with a six-month lag. This would enable market participants to better understand what these forecasts mean and how to use them in economic decision-making. |
| Keywords: | Monetary Policy, Bank of Canada, overnight interest rate, inflation target |
| JEL: | E52 E58 |
| Date: | 2010–07 |
| URL: | http://d.repec.org/n?u=RePEc:cdh:ebrief:102&r=for |
| By: | Duo Qin (Queen Mary, University of London) |
| Abstract: | This study examines the evolution of econometric research in business cycle analysis during the 1960-90 period. It shows how the research was dominated by an assimilation of the tradition of NBER business cycle analysis by the Haavelmo-Cowles Commission approach, catalysed by time-series statistical methods. Methodological consequences of the assimilation are critically evaluated in light of the meagre achievement of the research in predicting the current global recession. |
| Keywords: | Business cycles, NBER, Forecasting |
| JEL: | B23 |
| Date: | 2010–07 |
| URL: | http://d.repec.org/n?u=RePEc:qmw:qmwecw:wp669&r=for |