Ekonomická a finančná matematika http://www.iam.fmph.uniba.sk/studium/efm/forum/ |
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Seminár NBS 20.7.2012 - Marian Vavra http://www.iam.fmph.uniba.sk/studium/efm/forum/viewtopic.php?f=23&t=538 |
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Autor: | matus.senaj [ Uto Júl 17, 2012 9:57 am ] |
Predmet príspevku: | Seminár NBS 20.7.2012 - Marian Vavra |
Dobrý deň, rád by som Vás pozval na seminár odboru výskumu, ktorý sa uskutoční v piatok 20. júla 2012 o 13:00 v zasadačke na ôsmom poschodí v budove NBS. Marian Vavra Forecasting From Non-linear Models Under Data Uncertainty Abstract This paper pays a special attention to the effect of statistical revisions observed in manyy economic indicateors on the forecast performance of non-linear time series models. It is demonstrated, by means of Monte Carlo experiments, that data uncertainty significantly deteriorates the forecast performance of non-linear time series models models. For this reason, a new simulation based correction procedure is proposed. It is shown that the proposed procedure can, under some conditions, reduce, but not completely eliminate, the effect of statistical revisions on the forecast performance. The procedure seems to be very efficient provided that the order of the bias of revisions dominates the order of the variance of statistical revisions. Účasť na seminári prosím potvrďte emailom na adrese matus.senaj@nbs.sk. Prajem pekný deň, Matúš Senaj Odbor výskumu Národná banka Slovenska tel.: 02 5787 2935 e-mail: matus.senaj@nbs.sk web: http://www.nbs.sk/sk/publikacie/vyskumne-studie http://ideas.repec.org/f/pse317.html |
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