دانلود رایگان مقاله لاتین ترکیب پیش بینی تراکم از سایت الزویر
عنوان فارسی مقاله:
نکته ای برای برآورد وزن مطلوب برای ترکیب پیش بینی تراکم
عنوان انگلیسی مقاله:
A note on the estimation of optimal weights for density forecast combinations
سال انتشار : 2016
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بخشی از مقاله انگلیسی:
2. Empirical illustration: Predicting FOMC monetary policy decisions
The following empirical illustration discusses probability density forecast combinations, including the combination using the optimal weights proposed by Hall and Mitchell (2007). Early attempts to work with combinations of probability forecasts have been made in the context of aggregating probability distributions of expert opinions, as was discussed by Genest and Zidek (1986) and Clemen and Winkler (1999). Pauwels and Vasnev (2012) use a conditional ordered probit model to estimate the dynamics of the federal funds target rate changes, following in the steps of Dueker (1999), Hamilton and Jordà (2002), Monokroussos (2011), Hu and Phillips (2004a), Kim, Jackson, and Saba (2009) and Kauppi (2012). Dueker (1999) uses the model r ∗ t = x ′ t−1β − ut (1) y ∗ t = r ∗ t − rt−1, (2) where ut ∼ N(0, σ 2 ), both y ∗ t and r ∗ t are unobservable, and xt−1 contains observable information that is relevant to the forecast, including initial claims for unemployment insurance, annual growth of M2, consumer confidence, and annual growth of manufacturers’ new orders. In Eq. (2),r ∗ t is the optimal policy rate, which is assumed to exist. rt is the federal funds target rate set by the Federal Open Market Committee (FOMC) at its last meeting. Only the FOMC meeting months are forecasted. The time period used in this example is from January 1994 to April 2010, which represents 133 FOMC meetings.1
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