| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7153 |
| DP7153 An empirical analysis of cellular demand in South Africa | |
| Farid Gasmi; Marc Ivaldi; Laura Recuero Virto | |
| 发表日期 | 2009-02-09 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons. Conversely, direct forecasts may dominate in the presence of dynamic model misspecification. Empirical analysis of the set of 170 variables studied by Marcellino, Stock and Watson (2006) shows that multivariate information, introduced through a parsimonious factor-augmented vector autoregression approach, improves forecasting performance for many variables, particularly at short horizons. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Forecast horizon Macroeconomic forecasting Factor-augmented var |
| URL | https://cepr.org/publications/dp7153 |
| 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/535989 |
| 推荐引用方式 GB/T 7714 | Farid Gasmi,Marc Ivaldi,Laura Recuero Virto. DP7153 An empirical analysis of cellular demand in South Africa. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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