Estimation and testing of time-varying coefficient regression models in the presence of linear restrictions

Article Abstract:

An extension of the linear regression model with random walk coefficients with linear restrictions between coefficients is evaluated. Results indicate that while the estimation is straightforward, testing for restrictions reveal a nonstandard problem. However, a minor adjustment to the problem eliminated this and test results show significant importance. Significant coefficient variation in price is encountered, although the homogeneity restriction is met satisfactorily.

Testing, Linear models (Statistics)

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Forecast combination in a dynamic setting

Article Abstract:

Generalization of forecast combination procedures using the dynamics in the combining regression is pursued. Results indicate that accounting for the dynamics source of forecast cobination regressions improves forecasts with the use of proper restrictions. Moreover, while the variable and its forecasts may be dynamic, cointegration must be considered in combining regressions. Imposing restrictions on combining regression would further improve forecast accuracy.

Autoregression (Statistics)

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Analysis of many short time sequences: forecast improvements achieved by shrinkage

Article Abstract:

An extension of the credibility model in actuarial science for multiple short time series predictions using the shrinkage approach to the mean is evaluated. Results appear to easily generalized for different structural time series models. The accuracy of the model's forecast are compared to those of traditional models. The latter has been found to perform poorly in most cases.

Insurance agents, brokers, & service, Insurance claims adjustment, Claims adjustment (Insurance)

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