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预测和预测国际杂志
编辑时间：2005/09/06 幻想的边疆
JOURNAL OF FORECASTING (ISSN: 0277-6693)
Issue:牋牋牋牋?Vol. 24 No. 5
IDS#:牋牋牋牋牋 956SW
Alert Expires:?15 SEP 2005
Number of Articles in Issue:?6 (6 included in this e-mail)
Organization ID:?b69ab6d87c5e672f3fafb34c395becd6
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*Pages: 311-324 (Article)
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Title:
Political manoeuvrings as sources of measurement errors in forecasts
Authors:
Paleologou, SM
Source:
JOURNAL OF FORECASTING, 24 (5): 311-324; AUG 2005
Abstract:
We test the extent to which political manoeuvrings can be the sources of
measurement errors in forecasts. Our objective is to examine the forecast error
based on a simple model in which we attempt to explain deviations between the
March budget forecast and the November forecast, and deviations between the
outcome and the March budget forecast in the UK. The analysis is based on
forecasts made by the general government. We use the forecasts of the variables
as alternatives to the outcomes. We also test for political spins in the GDP
forecast updates and the GDP forecast errors. We find evidence of partisan and
electoral effects in forecast updates and forecast errors. Copyright (c) 2005
John Wiley & Sons, Ltd.
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*Pages: 325-333 (Article)
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Title:
Regional econometric income forecast accuracy
Authors:
Fullerton, TM; Tinajero, R; Waldman, L
Source:
JOURNAL OF FORECASTING, 24 (5): 325-333; AUG 2005
Abstract:
Econometric prediction accuracy for personal income forecasts is examined for a
region of the United States. Previously published regional structural equation
model (RSEM) forecasts exist ex ante for the state of New Mexico and its three
largest metropolitan statistical areas: Albuquerque, Las Cruces and Santa Fe.
Quarterly data between 1983 and 2000 are utilized at the state level. For
Albuquerque, annual data from 1983 through 1999 are used. For Las Cruces and
Santa Fe, annual data from 1990 through 1999 are employed. Univariate time
series, vector autoregressions and random walks are used as the comparison
criteria against structural equation simulations. Results indicate that ex ante
RSEM forecasts achieved higher accuracy than those simulations associated with
univariate ARIMA and random walk benchmarks for the state of New Mexico. The
track records of the structural econometric models for Albuquerque, Las Cruces
and Santa Fe are less impressive. In some cases, VAR benc!
hmarks prove more reliable than RSEM income forecasts. In other cases, the RSEM
forecasts are less accurate than random walk alternatives. Copyright (c) 2005
John Wiley & Sons, Ltd.
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*Pages: 335-351 (Article)
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Title:
A forecasting procedure for nonlinear autoregressive time series models
Authors:
Cai, YZ
Source:
JOURNAL OF FORECASTING, 24 (5): 335-351; AUG 2005
Abstract:
Forecasting for nonlinear time series is an important topic in time series
analysis. Existing numerical algorithms for multi-step-ahead forecasting ignore
accuracy checking, alternative Monte Carlo methods are also computationally very
demanding and their accuracy is difficult to control too. In this paper a
numerical forecasting procedure for nonlinear autoregressive time series models
is proposed. The forecasting procedure can be used to obtain approximate
m-step-ahead predictive probability density functions, predictive distribution
functions, predictive mean and variance, etc. for a range of nonlinear
autoregressive time series models. Examples in the paper show that the
forecasting procedure works very well both in terms of the accuracy of the
results and in the ability to deal with different nonlinear autoregressive time
series models. Copyright (c) 2005 John Wiley & Sons, Ltd.
========================================================================
*Pages: 353-368 (Article)
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Title:
Long-term sales forecasting using Holt-Winters and neural network methods
Authors:
Kotsialos, A; Papageorgiou, M; Poulimenos, A
Source:
JOURNAL OF FORECASTING, 24 (5): 353-368; AUG 2005
Abstract:
The problem of medium to long-term sales forecasting raises a number of
requirements that must be suitably addressed in the design of the employed
forecasting methods. These include long forecasting horizons (up to 52 periods
ahead), a high number of quantities to be forecasted, which limits the
possibility of human intervention,frequent introduction of new articles (for
which no past sales are available for parameter calibration) and withdrawal of
running articles. The problem has been tackled by use of a damped-trend
Holt-Winters method as well as feedforward multilayer neural networks (FMNNs)
applied to sales data from two German companies. Copyright (c) 2005 John Wiley &
Sons, Ltd.
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*Pages: 369-377 (Article)
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Title:
Forecasting the dollar/euro exchange rate: Are international parities useful?
Authors:
Sosvilla-Rivero, S; Garci, E
Source:
JOURNAL OF FORECASTING, 24 (5): 369-377; AUG 2005
Abstract:
In this paper we assess the empirical relevance of an expectations version
ofpurchasing power parity in forecasting the dollar/euro exchange rate. This
version is based on the differential of inflation expectations derived from
inflation-indexed bonds for the euro area and the USA.
Using the longest daily data for both the dollar/euro exchange rate and for the
inflation expectations, our results suggest that, with few exceptions, our
predictors behave significantly better than a random walk in forecasts up to
five days, both in terms of prediction errors and in directional forecasts.
Copyright (c) 2005 John Wiley & Sons, Ltd.
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*Pages: 379-387 (Article)
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Title:
Identifying the time-effect factors of multiple time series
Authors:
Hu, YP
Source:
JOURNAL OF FORECASTING, 24 (5): 379-387; AUG 2005
Abstract:
The Pena-Box model is considered for finding the time-effect factors of a
multiple time series. This paper first establishes the connection between the
Pena-Box model and the vector ARMA model. According to the Pena-Box model, some
series can be ignored while modelling the vector ARMA model. A consistent
estimator is then proposed to identify the model for nonlinear and nonstationary
time series. Finally, the finite-sample behaviour of the estimator is
illustrated via simulations. Copyright (c) 2005 John Wiley & Sons, Ltd.
========================================================================
INTERNATIONAL JOURNAL OF FORECASTING (ISSN: 0169-2070)
Issue:牋牋牋牋?Vol. 21 No. 3
IDS#:牋牋牋牋牋 949PN
Alert Expires:?15 SEP 2005
Number of Articles in Issue:?17 (17 included in this e-mail)
Organization ID:?b69ab6d87c5e672f3fafb34c395becd6
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*Pages: 397-409 (Article)
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Title:
The M3 competition: Statistical tests of the results
Authors:
Koning, AJ; Franses, PH; Hibon, M; Stekler, HO
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 397-409; JUL-SEP 2005
Abstract:
The main conclusions of the M3 competition were derived from the analyses of
descriptive statistics with no formal statistical testing. One of the
commentaries noted that the results had not been tested for statistical
significance. This paper undertakes such an analysis by examining the primary
findings of that competition. We introduce a new methodology that has not
previously been used to evaluate economic forecasts: multiple comparisons. We
use this technique to compare each method against the best and against the mean.
We conclude that the accuracy of the various methods does differ significantly,
and that some methods are significantly better than others. We confirm that
there is no relationship between complexity and accuracy but also show that
there is a significant relationship among the various measures of accuracy.
Finally, we find that the M3 conclusion that a combination of methods is better
than that of the methods being combined was not proven. (c) 2004 Intern!
ational Institute of Forecasters. Published by Elsevier B.V All rights
reserved.
========================================================================
*Pages: 411-423 (Article)
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Title:
Forecasting support systems for the incorporation of event information: An
empirical investigation
Authors:
Webby, R; O'Connor, M; Edmundson, B
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 411-423; JUL-SEP 2005
Abstract:
A number of recent studies have shown how important non-time series information
(especially event information) is to forecast accuracy. This study examines the
way people adjust time series for this additional information and how they cope
with increasing amounts of it. It also examines the contribution of forecasting
support systems (FSS) to help manage the information integration process.
Results indicate that people benefit from the use of the decomposition-based
decision aid in the task, but, unexpectedly, there was no greater benefit when
information load was greatest. The characteristics of judgemental adjustments
are discussed in relation to the trend of the series and the juxtaposition of
information with random fluctuations. (c) 2004 International Institue of
Forecasters. Published by Elsevier B.V All rights reserved.
========================================================================
*Pages: 425-434 (Article)
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Title:
Large neural networks for electricity load forecasting: Are they overfitted?
Authors:
Hippert, HS; Bunn, DW; Souza, RC
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 425-434; JUL-SEP 2005
Abstract:
Neural networks have apparently enjoyed considerable success in practice for
predicting short-term daily electricity load profiles. Most of these
applications have utilised very large neural network specifications, which
raises the methodological question of over-fitting. This paper examines this
issue by comparing several forecasting methods on a sample of hourly electricity
demands, including both large neural networks and conventional regression-based
methods. We find good performance for the large neural networks, and offer some
analysis of why forecasting the 24 element vector of daily electricity demands
may be particularly conducive to this approach. (c) 2004 International Institute
of Forecasters. Published by Elsevier B.V All rights reserved.
========================================================================
*Pages: 435-462 (Article)
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Title:
Forecasting electricity prices for a day-ahead pool-based electric energy market
Authors:
Conejo, AJ; Contreras, J; Espinola, R; Plazas, MA
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 435-462; JUL-SEP 2005
Abstract:
This paper considers forecasting techniques to predict the 24 market-clearing
prices of a day-ahead electric energy market. The techniques considered include
time series analysis, neural networks and wavelets. Within the time series
procedures, the techniques considered comprise ARIMA, dynamic regression and
transfer function. Extensive analysis is conducted using data from the PJM
Interconnection. Relevant conclusions are drawn on the effectiveness and
flexibility of any one of the considered techniques. Furthermore, they are
exhaustively compared among themselves. (c) 2004 International Institute of
Forecasters. Published by Elsevier B.V All rights reserved.
========================================================================
*Pages: 463-472 (Article)
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Title:
Game theory, simulated interaction, and unaided judgement for forecasting
decisions in conflicts: Further evidence
Authors:
Green, KC
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 463-472; JUL-SEP 2005
Abstract:
When people in conflicts can accurately forecast how others will respond, they
should be able to make better decisions. Contrary to expectations, earlier
research found game theorists' forecasts were less accurate than forecasts from
student role players. To assess whether game theorists had been disadvantaged by
the selection of conflicts, I obtained forecasts for three new conflicts of
types preferred by game theory experts. As before, role-players in simulated
interactions were students, and other students forecast using their judgement.
Game theorists did better than previously. However, when the three new and five
earlier conflicts are combined, 101 forecasts by 23 game theorists were no more
accurate (31%) than 354 forecasts by students who used unaided judgement (31%).
Experienced game theorists were not more accurate. Neither were those who spent
more time on the task. Of 105 simulated-interaction forecasts, 62% were
accurate: an average error reduction of 47% over g!
ame-theorist forecasts and a halving of error relative to the current method.
Forecasts can sometimes have value without being strictly accurate. Assessing
the usefulness of forecasts led to the same conclusions about the relative
merits of the methods. Finally, by combining simulated interaction forecasts,
accurate forecasts were obtained for seven of the eight situations. (c) 2005
International Institute of Forecasters. Published by Elsevier B.V All rights
reserved.
========================================================================
*Pages: 473-489 (Article)
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Title:
Performance evaluation of judgemental directional exchange rate predictions
Authors:
Pollock, AC; Macaulay, A; Thomson, ME; Onkal, D
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 473-489; JUL-SEP 2005
Abstract:
A procedure is proposed for examining different aspects of performance for
judgemental directional probability predictions of exchange rate movements. In
particular, a range of new predictive performance measures is identified to
highlight specific expressions of strengths and weaknesses in judgemental
directional forecasts. Proposed performance qualifiers extend the existing
accuracy measures, enabling detailed comparisons of probability forecasts with
ex-post empirical probabilities that are derived from changes in the logarithms
of the series. This provides a multi-faceted evaluation that is straightforward
for practitioners to implement, while affording the flexibility of being used in
situations where the time intervals between the predictions have variable
lengths. The proposed procedure is illustrated via an application to a set of
directional probability exchange rate forecasts for the US Dollar/Swiss Franc
from 23/7/96 to 7/12/99 and the findings are discussed. (c) !
2005 International Institute of Forecasters. Published by Elsevier B.V. All
rights reserved.
========================================================================
*Pages: 491-501 (Article)
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Title:
A monthly crude oil spot price forecasting model using relative inventories
Authors:
Ye, M; Zyren, J; Shore, J
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 491-501; JUL-SEP 2005
Abstract:
This paper presents a short-tern forecasting model of monthly West Texas
Intermediate crude oil spot prices using readily available OECD industrial
petroleum inventory levels. The model provides good in-sample and out-of-sample
dynamic forecasts for the post-Gulf War time period. In-sample and out-of-sample
forecasts from the model are compared with those derived from other models. The
model is intended for the practicing forecaster and designed to be simple enough
to implement easily in a spreadsheet or other software package, with the
variables easy to update. The simplicity and ease of updating make this model
attractive for investigating various scenarios to see the impacts that market
changes can have on monthly crude oil spot prices if inventories, production,
imports, or demand change. Finally, the model structure can easily be updated
periodically should there be a fundamental market change or a shift in the
normal level of inventories. (c) 2005 International Institu!
te of Forecasters. Published by Elsevier B.V. All rights reserved.
========================================================================
*Pages: 503-523 (Article)
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Title:
Coincident and leading indicators for the euro area: A frequency band approach
Authors:
Rua, A; Nunes, LC
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 503-523; JUL-SEP 2005
Abstract:
The aim of this paper is to build monthly coincident and leading composite
indicators for the cure, area growth cycle. In contrast with previous
literature, where the variables to be included in the composite indicators are
chosen according to their overall comovement with the reference cycle, we resort
to frequency domain analysis to achieve additional insight about their
relationships at different frequency bands. We find that, in general, the
lead/lag properties of the variables depend on the cycle periodicity. The
resulting indicators are analysed and a comparison with other composite
indicators proposed in the literature is made. We find that this approach allows
for substantial gains when the focus is on leading indicators, especially as the
desired time lead increases. (c) 2005 International Institute of Forecasters.
Published by Elsevier B.V. All rights reserved.
========================================================================
*Pages: 525-537 (Article)
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Title:
Measuring and predicting tuning points using a dynamic bi-factor model
Authors:
Kholodilin, KA; Yao, VW
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 525-537; JUL-SEP 2005
Abstract:
In this paper a dynamic bi-factor model with Markov-switching is developed to
measure and predict turning points. Both common factors, namely composite
leading index (CLI) and composite coincident index (CCI) respectively, have
their own cyclical dynamics, and their lead-lag relationships are reflected in
the transition probabilities matrix. The model is applied to four coincident and
four selected leading indicators for the US economy. The bi-factor model
estimates that, on average, CLI leads CCI by 7-8 months at both peaks and
troughs. The model-derived recession probabilities of CCI and those of CLI with
a lag of 9 months capture the NBER business cycle chronology very well. The
out-of-sample forecast using CLI successfully detected the latest recession from
March to December 2001. This allows the measurement and prediction of turning
points in a precise and timely fashion. (c) 2005 International Institute of
Forecasters. Published by Elsevier B.V. All rights reserved.
========================================================================
*Pages: 539-550 (Article)
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Title:
Joint forecasts of Southern European fertility rates with non-stationary dynamic
factor models
Authors:
Ortega, JA; Poncela, P
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 539-550; JUL-SEP 2005
Abstract:
Fertility forecasting is the weak point of stochastic population forecasts.
Changing trends account for large forecasting errors even a few years ahead. On
the other hand, fertility trends have been shown to be common to different
European countries. This paper explores the possibility of improving forecasts
by jointly modelling total fertility rate (TFR) trends within relatively
homogeneous clusters of countries. We propose different varieties of
non-stationary dynamic factor models applied to Southern European countries. The
forecasting performance of the common factor models is compared to alternative
univariate and multivariate forecasting methods using data for the period
1950-2000. Joint forecasts show forecasting gains in terms of root mean square
error of prediction (RMSE), particularly for longer forecast horizons. This
corroborates the convenience of modelling fertility jointly for population
forecasting. (c) 2005 International Institute of Forecasters. Published b!
y Elsevier B.V All rights reserved.
========================================================================
*Pages: 551-564 (Article)
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Title:
Odds-setters as forecasters: The case of English football
Authors:
Forrest, D; Goddard, J; Simmons, R
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 551-564; JUL-SEP 2005
Abstract:
Sets of odds issued by bookmakers may be interpreted as incorporating implicit
probabilistic forecasts of sporting events. Employing a sample of nearly 10000
English football (soccer) games, we compare the effectiveness of forecasts based
on published odds and forecasts made using a benchmark statistical model
incorporating a large number of quantifiable variables relevant to match
outcomes. The experts' views, represented by the published odds, are shown to be
increasingly effective over a 5-year period. Bootstraps performed on the
statistical model fail to outperform the expert judges. The trend towards
odds-setters displaying greater expertise as forecasters coincided with a period
during which intensifying competition is likely to have increased the financial
penalties for bookmakers of imprecise odds-setting. In the context of a
financially pressured environment, the main findings of this paper challenge the
consensus that subjective forecasting by experts will normally!
?be inferior to forecasts from statistical models. (c) 2005 International
Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
========================================================================
*Pages: 565-576 (Article)
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Title:
Predicting the World Cup 2002 in soccer: Performance and confidence of experts
and non-experts
Authors:
Andersson, P; Edman, J; Ekman, M
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 565-576; JUL-SEP 2005
Abstract:
This paper investigates the forecasting performance and confidence of experts
and non-experts. 251 participants with four different levels of knowledge of
soccer (ranging between expertise and almost ignorance) took part in a survey
and predicted the outcome of the first round of World Cup 2002. The
participating experts (i.e., sport journalists, soccer fans, and soccer coaches)
and the non-experts were found to be equally accurate and better than chance. A
simple prediction rule that followed world rankings outperformed most
participants. Experts overestimated their performance and tended to be
overconfident, while the opposite tendency was observed for the participants
with limited knowledge. Providing non-experts with information did not improve
their performance, but increased their confidence. (c) 2005 International
Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
========================================================================
*Pages: 577-594 (Article)
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Title:
Clustered panel data models: An efficient approach for nowcasting from poor data
Authors:
Mouchart, M; Rombouts, JVK
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 577-594; JUL-SEP 2005
Abstract:
Nowcasting concerns the inference on the current realization of random variables
using information available until a recent past. This paper proposes a modelling
strategy aimed at the best use of data for nowcasting based on panel data with
severe deficiencies, namely, short time series and many missing data. The basic
idea consists of introducing a clustering approach into the usual panel data
model specification. A case study in the field of R&D variables illustrates the
proposed modelling strategy. (c) 2005 International Institute of Forcasters.
Published by Elsevier B.V. All rights reserved.
========================================================================
*Pages: 595-607 (Article)
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Title:
Forecasting with measurement errors in dynamic models
Authors:
Harrison, R; Kapetanios, G; Yates, T
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 595-607; JUL-SEP 2005
Abstract:
In this paper, we explore the consequences for forecasting of the following two
facts: first, that over time statistics agencies revise and improve published
data, so that observations on more recent events are those that are least well
measured. Second, that economies are such that observations on the most recent
events contain the largest signal about the future. We discuss a variety of
forecasting problems in this environment, and present an application using a
univariate model of the quarterly growth of UK private consumption expenditure.
(c) 2005 Bank of England. Published by Elsevier B.V All rights reserved.
========================================================================
*Pages: 617-618 (Letter)
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Title:
Comments on a patented bootstrapping method for forecasting intermittent demand
Authors:
Gardner, ES; Koehler, AB
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 617-618; JUL-SEP 2005
========================================================================
*Pages: 619-620 (Letter)
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Title:
Author's response to Koehler and Gardner
Authors:
Willemain, TR
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 619-620; JUL-SEP 2005
========================================================================
*Pages: 609-616 (Software Review)
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Title:
Software evaluation: EasyReg international
Authors:
Choi, HS; Kiefer, NM
Source:
INTERNATIONAL JOURNAL OF FORECASTING, 21 (3): 609-616; JUL-SEP 2005
Abstract:
Herman J. Bierens' EasyReg International is a convenient and efficient tool for
researchers, teachers and students. It is free of charge, easy to use and offers
many popular econometric tools. We reviewed the most recent (October 6, 2004)
version. We present the evaluation according to Berk's (1987) list oferiteria
for statistical software. We also discuss the numerical accuracy of EasyReg
International. (c) 2005 International Institute of Forecasters. Published by
Elsevier B.V All rights reserved.
========================================================================
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