Zobrazeno 1 - 10
of 96
pro vyhledávání: '"Kenneth F. Wallis"'
Publikováno v:
Journal of Applied Econometrics. 30:1029-1046
There is increased interest in extracting indicators of macroeconomic risk and uncertainty from forecast surveys that include questions about density forecasts. In this paper we consider several statistical issues that arise in the construction and i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::46335c18fafe8f08f14334bb26d4165c
https://doi.org/10.1002/jae.2400
https://doi.org/10.1002/jae.2400
Publikováno v:
International Journal of Forecasting. 27:379-393
This article provides a practical evaluation of some leading density forecast scoring rules in the context of forecast surveys. We analyse the density forecasts of UK inflation obtained from the Bank of England’s Survey of External Forecasters, con
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b1ed22246eccb7050bbadab6af3ef43a
https://doi.org/10.1016/j.ijforecast.2010.04.003
https://doi.org/10.1016/j.ijforecast.2010.04.003
Autor:
Kenneth F. Wallis, Jan Jacobs
Publikováno v:
Journal of Econometrics, 158(1), 108-116. Elsevier Science
Cointegration ideas as introduced by Granger in 1981 are commonly embodied in empirical macroeconomic modelling through the vector error correction model (VECM). It has become common practice in these models to treat some variables as weakly exogenou
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2168eaab90abe43fcdd453919ea391f8
https://hdl.handle.net/11370/3bdf01a5-0c1d-43d8-9daf-4837957838ba
https://hdl.handle.net/11370/3bdf01a5-0c1d-43d8-9daf-4837957838ba
Autor:
James Mitchell, Kenneth F. Wallis
Publikováno v:
Journal of Applied Econometrics. 26:1023-1040
This paper reviews current density forecast evaluation procedures, and considers a proposal that such procedures be augmented by an assessment of 'sharpness'. This was motivated by an example in which some standard evaluation procedures using probabi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::01f3c40a33f577ffc9e3f7135401028b
https://doi.org/10.1002/jae.1192
https://doi.org/10.1002/jae.1192
Autor:
Kenneth F. Wallis, Jeremy Smith
Publikováno v:
Oxford Bulletin of Economics and Statistics. 71:331-355
This article presents a formal explanation of the forecast combination puzzle, that simple combinations of point forecasts are repeatedly found to outperform sophisticated weighted combinations in empirical applications. The explanation lies in the e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3a32724e5323c651bf1e39df9cb456aa
https://doi.org/10.1111/j.1468-0084.2008.00541.x
https://doi.org/10.1111/j.1468-0084.2008.00541.x
Autor:
Kenneth F. Wallis
Publikováno v:
Oxford Bulletin of Economics and Statistics. 46:383-389
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7e0eb7419240bbd54a3b0e52bf7e1bb5
https://doi.org/10.1111/j.1468-0084.1984.mp46004007.x
https://doi.org/10.1111/j.1468-0084.1984.mp46004007.x
Publikováno v:
The Economic Journal. 118:1107-1127
This article introduces a new source of survey data, namely the Bank of England Survey of External Forecasters. The survey collects point and density forecasts of inflation and GDP growth, and hence offers the opportunity of constructing direct measu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a1212cd72dc2b4bf9a774d5bb76c3136
https://doi.org/10.1111/j.1468-0297.2008.02162.x
https://doi.org/10.1111/j.1468-0297.2008.02162.x
Publikováno v:
National Institute Economic Review. 203:68-77
This article analyses the forecasts of inflation and GDP growth supplied by the individual respondents to the Bank of England's quarterly Survey of External Forecasters, 1996-2005, using a recently released dataset. This comprises a conventional inco
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::53ab50e25ba4bb266b33f505e963b8c7
https://doi.org/10.1177/0027950108089679
https://doi.org/10.1177/0027950108089679
Autor:
Kenneth F. Wallis
Publikováno v:
Oxford Bulletin of Economics and Statistics. 67:983-994
The finite mixture distribution is proposed as an appropriate statistical model for a combined density forecast. Its implications for measures of uncertainty and disagreement, and for combining interval forecasts, are described. Related proposals in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d065495094d451fa6101dfb3130792b1
https://doi.org/10.1111/j.1468-0084.2005.00148.x
https://doi.org/10.1111/j.1468-0084.2005.00148.x
Publikováno v:
Econometric Reviews. 23:341-370
The power of Pearson's overall goodness-of-fit test and the components-of-chi-squared or “Pearson analog” tests of Anderson [Anderson, G. (1994). Simple tests of distributional form. J. Econometrics 62:265–276] to detect rejections due to shift
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::44c1e669f14fad12ce8103be5eafe235
https://doi.org/10.1081/etc-200040782
https://doi.org/10.1081/etc-200040782