| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3078 |
| DP3078 TFP Growth in British and German Manufacturing, 1950-96 | |
| Nicholas Crafts; Terence Mills | |
| 发表日期 | 2001-11-23 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | Data sharing is common practice in forecasting experiments in situations where fresh data samples are difficult or expensive to generate. This means that forecasters often analyze the same data set using a host of different models and sets of explanatory variables. This practice introduces statistical dependencies across forecasting studies that can severely distort statistical inference. Here we examine a new and inexpensive recursive bootstrap procedure that allows forecasters to account explicitly for these dependencies. The procedure allows forecasters to merge empirical evidence and draw inference in the light of previously accumulated results. In an empirical example, we merge results from predictions of daily stock prices based on (1) technical trading rules and (2) calendar rules, demonstrating both the significance of problems arising from data sharing and the simplicity of accounting for data sharing using these new methods. |
| 主题 | Financial Economics |
| 关键词 | Forecast evaluation Bootstrap Data sharing Calendar effects Technical trading |
| URL | https://cepr.org/publications/dp3078 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532110 |
| 推荐引用方式 GB/T 7714 | Nicholas Crafts,Terence Mills. DP3078 TFP Growth in British and German Manufacturing, 1950-96. 2001. |
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