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Creator: Duncan, George T. and Lin, Lizbie Gee-Sun Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 000 Descrizione:
This paper was published with no issue number.
Parola chiave: Time series and Entry and exit Soggetto: C12 - Hypothesis Testing: General and C32 - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Creator: Rich, Robert W., 1958- and Tracy, Joseph S., 1956- Series: Joint committee on business and financial analysis Abstract:
This paper examines data on point and probabilistic forecasts of inflation from the Survey of Professional Forecasters. We use this data to evaluate current strategies for the empirical modeling of forecast behavior. In particular, the analysis principally focuses on the relationship between ex post forecast errors and ex ante measures of uncertainty in order to assess the reliability of using proxies based on predictive accuracy to describe changes in predictive confidence. After we adjust the data to account for certain features in the conduct and construct of the survey, we find a significant and robust correlation between observed heteroskedasticity in the consensus forecast errors and forecast uncertainty. We also document that significant compositional effects are present in the data that are economically important in the case of forecast uncertainty, and may be related to differences in respondents' access to information.
Parola chiave: Forecasting, Inflation, Uncertainty, Disagreement, and Conditional heteroskedasticity Soggetto: C12 - Econometric and statistical methods : General - Hypothesis testing, C22 - Single equation models ; Single variables - Time-series models ; Dynamic quantile regressions, and E37 - Prices, business fluctuations, and cycles - Forecasting and simulation
Creator: Hansen, Lars Peter and Jagannathan, Ravi Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 167 Abstract:
In this paper we develop alternative ways to compare asset pricing models when it is understood that their implied stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on chi-squared statistics associated with null hypotheses that models are correct, our measures of model performance do not reward variability of discount factor proxies. One of our measures is designed to exploit fully the implications of arbitrage-free pricing of derivative claims. We demonstrate empirically the usefulness of methods in assessing some alternative stochastic factor models that have been proposed in asset pricing literature.
Soggetto: G10 - General Financial Markets: General (includes Measurement and Data), C13 - Estimation: General, C10 - Econometric and Statistical Methods and Methodology: General, C12 - Hypothesis Testing: General, G12 - Asset Pricing; Trading Volume; Bond Interest Rates, and E30 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)