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Density forecasting through disaggregation

Title
Density forecasting through disaggregation
Author
김건호
Keywords
Density forecast; Revised expectations model; Disaggregation; Hierarchical model; Shrinkage effect; Bayesian MCMC
Issue Date
2011-07
Publisher
ELSEVIER SCIENCE BV, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS
Citation
International journal of forecasting,Vol.27 No.2 [2011],394-412
Abstract
In this paper, the revised expectations model (REM) is developed to incorporate economic agents' price expectation formation effects. With this incorporation, two models, an aggregate one sector model and a disaggregated multi-sector model, are estimated and used in density forecasting of the US real GDP growth rate. The experiment shows that use of the disaggregated version of the model, which incorporates price expectation effects along with modern Bayesian MCMC estimation and prediction techniques, produces more precise density forecasts than those yielded by either an aggregate version or benchmark forecasting models. (C) 2010 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
URI
https://www.sciencedirect.com/science/article/pii/S0169207010001044?via%3Dihub
ISSN
0169-2070
DOI
10.1016/j.ijforecast.2010.04.007
Appears in Collections:
COLLEGE OF ECONOMICS AND FINANCE[S](경제금융대학) > ECONOMICS & FINANCE(경제금융학부) > Articles
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