Ex-post and Ex-ante prediction of unobserved economic time series: a case study

Article Abstract:

Two problems illustrate how to determine econometric analyses from frequently unobserved macro-economic variables. The first problem is an ex-post prediction problem which is solved more easily than before through the use of related economic indicators and the observation of low-frequency values. The ex-ante prediction problem is a complement of the ex-post prediction problem.

Usage, Econometrics, Economic indicators, Macroeconomics

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Weights and robustness of model-based seasonal adjustment

Article Abstract:

The differences and similarities for two major seasonal adjustment methods are analyzed. The ARIMA model method and the structural model method provide similar results as long as the seasonal component does not vary to any great degree from the other parts of the models. A demonstration of a major variation in the seasonal component is provided to illustrate this point.

Seasonal variations (Economics)

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Robustness of alternative non-linearity tests for SETAR models

Article Abstract:

The potential forecast gains from the non-linear structure of self-exciting threshold autoregressive (SETAR) models are exploited. Robustness in relation to outlying observations and model specifications are studied with non-linearity tests and the testing procedures are compared using Monte Carlo simulation.

Methods, Study and teaching, Simulation methods, Simulation, Mathematical optimization, Optimization theory, Time-series analysis, Time series analysis

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