Business Analytics Working Paper Series: Recent submissions
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Practical use of sensitivity in econometrics with an illustration to forecast combinations
Published 2013-03-01Sensitivity analysis is important for its own sake and also in combination with diagnostic testing. We consider the question how to use sensitivity statistics in practice, in particular how to judge whether sensitivity is ...Open AccessWorking Paper -
Forecast combination for U.S. recessions with real-time data
Published 2013-03-01This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index, as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead ...Open AccessWorking Paper -
Forecast combination for U.S. recessions with real-time data
Published 2013-01-01This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead ...Open AccessWorking Paper -
Practical considerations for optimal weights in density forecast combination
Published 2013-01-01The problem of finding appropriate weights to combine several density forecasts is an important issue currently debated in the forecast combination literature. Recently, a paper by Hall and Mitchell (IJF, 2007) proposes ...Open AccessWorking Paper -
Maximum likelihood estimation of time series models: the Kalman filter and beyond
Published 2012-05-01The purpose of this chapter is to provide a comprehensive treatment of likelihood inference for state space models. These are a class of time series models relating an observable time series to quantities called states, ...Open AccessWorking Paper