全球智库信息集成服务系统(G2TT): Weighting schemes in global VAR modelling: a forecasting exercise.

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来源类型	Article
规范类型	其他
DOI	10.1007/s12076-016-0170-x
	Weighting schemes in global VAR modelling: a forecasting exercise.
	Martin F; Crespo Cuaresma J
发表日期	2017
出处	Letters in Spatial and Resource Sciences 10 (1): 45-56
出版年	2017
语种	英语
摘要	We provide a comprehensive analysis of the out-of-sample predictive accuracy of different global vector autoregressive (GVAR) specifications based on alternative weighting schemes to address global spillovers across countries. In addition to weights based on bilateral trade, we entertain schemes based on different financial variables and geodesic distance. Our results indicate that models based on trade weights, which are standard in the literature, are systematically outperformed in terms of predictive accuracy by other specifications. We find that, while information on financial linkages helps improve the forecasting accuracy of GVAR models, averaging predictions by means of simple predictive likelihood weighting does not appear to systematically lead to lower forecast errors.
主题	World Population (POP)
关键词	Global VAR modelling forecasting global spillovers
URL	http://pure.iiasa.ac.at/id/eprint/13858/
来源智库	International Institute for Applied Systems Analysis (Austria)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/131073
推荐引用方式 GB/T 7714	Martin F,Crespo Cuaresma J. Weighting schemes in global VAR modelling: a forecasting exercise.. 2017.

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