Ekonomická a finančná matematika
http://www.iam.fmph.uniba.sk/studium/efm/forum/

Seminár NBS 20.7.2012 - Marian Vavra
http://www.iam.fmph.uniba.sk/studium/efm/forum/viewtopic.php?f=23&t=538
Stránka 1 z 1

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

Stránka 1 z 1 Všetky časy sú v GMT + 1 hodina
Powered by phpBB © 2000, 2002, 2005, 2007 phpBB Group
http://www.phpbb.com/